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Annals of Actuarial Science
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ISSN (Print) 1748-4995 - ISSN (Online) 1748-5002
Published by Cambridge University Press

[352 journals]

Managing the risk of mortality shocks
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  Authors: Dacorogna; Michel, Feng, Runhuan, Li, Johnny Siu-Hang, Olivieri, Annamaria
  Pages: 425 - 427
  PubDate: 2022-11-29
  DOI: 10.1017/S1748499522000197
How actuarial perspectives can help in a pandemic
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  Authors: Edwards; Matthew
  Pages: 428 - 429
  PubDate: 2022-11-29
  DOI: 10.1017/S1748499522000185
Real-time measurement of portfolio mortality levels in the presence of
shocks and reporting delays
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  Authors: Richards; Stephen J.
  Pages: 430 - 452
  Abstract: The COVID-19 pandemic requires that actuaries track short-term mortality fluctuations in the portfolios they manage. This demands methods that not only operate over much shorter time periods than a year but that also deal with reporting delays. In this paper, we consider a semi-parametric approach for tracking portfolio mortality levels in continuous time. We identify both seasonal patterns and mortality shocks, thus providing a comparison benchmark for the impact of COVID-19 in terms of a portfolio’s own past experience. A parametric model is presented to allow for the average impact of seasonal variation and also reporting delays. We find that an estimate of mortality reporting delays can be made from a single extract of experience data. This can be used to forecast unreported deaths and improve estimates of recent mortality levels. Results are given for annuity portfolios in France, the UK and the USA.
  PubDate: 2022-02-21
  DOI: 10.1017/S1748499522000021
A multi-parameter-level model for simulating future mortality scenarios
with COVID-alike effects
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  Authors: Zhou; Rui, Li, Johnny Siu-Hang
  Pages: 453 - 477
  Abstract: There has been a growing interest among pension plan sponsors in envisioning how the mortality experience of their active and deferred members may turn out to be if a pandemic similar to the COVID-19 occurs in the future. To address their needs, we propose in this paper a stochastic model for simulating future mortality scenarios with COVID-alike effects. The proposed model encompasses three parameter levels. The first level includes parameters that capture the long-term pattern of mortality, whereas the second level contains parameters that gauge the excess age-specific mortality due to COVID-19. Parameters in the first and second levels are estimated using penalised quasi-likelihood maximisation method which was proposed for generalised linear mixed models. Finally, the third level includes parameters that draw on expert opinions concerning, for example, how likely a COVID-alike pandemic will occur in the future. We illustrate our proposed model with data from the United States and a range of expert opinions.
  PubDate: 2022-05-24
  DOI: 10.1017/S1748499522000033
COVID-19 accelerated mortality shocks and the impact on life insurance:
the Italian situation
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  Authors: Carannante; Maria, D’Amato, Valeria, Haberman, Steven
  Pages: 478 - 497
  Abstract: The Covid-19 pandemic caused an alarming mortality stress. The evidence shows that a significant proportion of people who die from Covid-19 are in a frail state. According to this consideration, we assume that the mortality shocks are related to a group of the individuals with some co-morbidities at Covid-19 diagnosis. In other words, the mortality shocks present a specific characterisation, which consists of a causal connection with pre-existing conditions, and the phenomenon could be described as a mortality acceleration. In this paper, an Accelerated Mortality Model is proposed in order to capture the different effects on mortality that depend on the evolution of the pandemic and the presence of co-morbidities at diagnosis. Furthermore, we assess the impact of Covid-19 mortality acceleration on a set of traditional life insurance contracts. We observe that, although mortality acceleration by Covid-19 affects more markedly the elderly and unhealthy sub-populations, it could be considered as a temporary shock with a limited impact on the life insurance market.
  PubDate: 2022-07-13
  DOI: 10.1017/S1748499522000094
The impact of mortality shocks on modelling and insurance valuation as
exemplified by COVID-19
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  Authors: Schnürch; Simon, Kleinow, Torsten, Korn, Ralf, Wagner, Andreas
  Pages: 498 - 526
  Abstract: The COVID-19 pandemic interrupts the relatively steady trend of improving longevity observed in many countries over the last decades. We claim that this needs to be addressed explicitly in many mortality modelling applications, for example, in the life insurance industry. To support this position, we provide a descriptive analysis of the mortality development of several countries up to and including the year 2020. Furthermore, we perform an empirical and theoretical investigation of the impact a mortality jump has on the parameters, forecasts and implied present values of the popular Lee–Carter mortality model. We find that COVID-19 has resulted in substantial mortality shocks in many countries. We show that such shocks have a large impact on point and interval forecasts of death rates and, consequently, on the valuation of mortality-related insurance products. We obtain similar findings under the Cairns–Blake–Dowd mortality model, which demonstrates that the effects caused by COVID-19 show up in a variety of models. Finally, we provide an overview of approaches to handle extreme mortality events such as the COVID-19 pandemic in mortality modelling.
  PubDate: 2022-05-10
  DOI: 10.1017/S1748499522000045
A stochastic model for capital requirement assessment for mortality and
longevity risk, focusing on idiosyncratic and trend components
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  Authors: Clemente; Gian Paolo, Della Corte, Francesco, Savelli, Nino
  Pages: 527 - 546
  Abstract: This paper provides a stochastic model, consistent with Solvency II and the Delegated Regulation, to quantify the capital requirement for demographic risk. In particular, we present a framework that models idiosyncratic and trend risks exploiting a risk theory approach in which results are obtained analytically. We apply the model to non-participating policies and quantify the Solvency Capital Requirement for the aforementioned risks in different time horizons.
  PubDate: 2022-09-30
  DOI: 10.1017/S174849952200015X