Stochastic Mortality Models and Pandemic Shocks

Abstract

After decades of worldwide steady improvements in life expectancy, the COVID-19 pandemic produced a shock that had an extraordinary immediate impact on mortality rates globally. This shock had largely heterogeneous effects across cohorts, socio-economic groups, and nations. It represents a remarkable departure from the secular trends that most of the mortality models have been constructed to capture. Thus, this chapter aims to review the existing literature on stochastic mortality, discussing the features that these models should have in order to be able to incorporate the behaviour of mortality rates following shocks such as the one produced by the COVID-19 pandemic. Multi-population models are needed to describe the heterogeneous impact of pandemic shocks across cohorts of individuals. However, very few of them so far have included jumps. We contribute to the literature by describing a general framework for multi-population models with jumps in continuous-time, using affine jump-diffusive processes.

Epidemic modelling and actuarial applications for pandemic insurance: a case study of Victoria, Australia

“…Furthermore, in Figure 2, people are shown that they can recover from each of the three stages of infection at varying rates of δ 1 , δ 2 , and δ 3 depending on the stage at which they were infected. There is evidence that individuals with mild symptoms have a higher recovery rate (δ 1 ) than those undergoing medical treatment at the hospital (δ 2 ) as discussed by Regis and Jevtie (2022). Furthermore, when comparing the recovery rate for infected individuals with ICU requirements (δ 3 ) to the recovery rate for infected individuals with the other two states of infection, it would be the lowest.…”

Accounting for COVID-19-type shocks in mortality modeling: a comparative study

“…Another possibility to account for shocks is to allow for transitory mortality jumps. Several applications of jumps have been investigated in the literature both on discrete-time and continuous-time mortality models, see Regis and Jevtić (2022) for a recent overview, which also includes multi-population models. Here, we follow Chen and Cox (2009), who propose…”