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.
White paper
Impact of COVID-19 on best estimate mortality assumptions
ByFlora Auter, Amal Elfassihi, Salima el Khababi, Jan Thiemen Postema, Eve Titon, and Raymond van Es
8 September 2023