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Impact of COVID-19 on best estimate mortality assumptions

8 September 2023

Following the COVID-19 pandemic that killed more than 7 million people worldwide, the mortality data relative to the years 2020 to 2022 is not directly usable for updating the calibration of stochastic mortality models or Solvency II internal model calibrations for mortality and longevity risks. 
In this paper, several approaches are presented to adjust COVID-19 mortality data points prior to the calibration of mortality models and their impact on mortality projections and shocks is then discussed.


About the Author(s)

Flora Auter

Amal Elfassihi

Salima el Khababi

Amsterdam Insurance and Financial Risk | Tel: 31207601801

Jan Thiemen Postema

Amsterdam Insurance and Financial Risk | Tel: 31686855107

Raymond van Es

Amsterdam Insurance and Financial Risk | Tel: 31 6 1133 4000

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