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Mortality forecasting in a post-COVID world

Last week I presented at the Longevity 18 conference.  My topic was on robustifying stochastic mortality models when the calibrating data contain outliers, such as caused by the COVID-19 pandemic.  A copy of the presentation can be downloaded here, which is based on a paper to be presented at an IFoA sessional meeting in N

Written by: Stephen RichardsTags: Filter information matrix by tag: mortality projections, Filter information matrix by tag: coronavirus, Filter information matrix by tag: outliers

Robust mortality forecasting for 2D age-period models

The covid-19 pandemic caused mortality shocks in many countries, and these shocks severely impact the standard forecasting models used by actuaries.  I previously showed how to robustify time-series models with a univariate index (Lee-Carter, APC) and those with a multivariate index (Cairns-Blake-Dowd, Ta

Written by: Stephen RichardsTags: Filter information matrix by tag: outliers, Filter information matrix by tag: coronavirus, Filter information matrix by tag: forecasting, Filter information matrix by tag: mortality projections

M is for Estimation

In earlier blogs I discussed two techniques for handling outliers in mortality forecasting models:

Written by: Stephen RichardsTags: Filter information matrix by tag: outliers, Filter information matrix by tag: robustness, Filter information matrix by tag: log-likelihood

Robust mortality forecasting for multivariate models

In my previous blog I showed how univariate stochastic mortality models like the Lee-Carter and APC models can be robustified to cope with data affected by the covid-19 pandemic. This blog considers multivariate models.
Written by: Stephen RichardsTags: Filter information matrix by tag: outliers, Filter information matrix by tag: coronavirus, Filter information matrix by tag: random walk, Filter information matrix by tag: drift model

Robust mortality forecasting for univariate models

The covid-19 pandemic led to high levels of mortality in many countries in 2020. How can univariate projections robustly handle such shocks in population data?
Written by: Stephen RichardsTags: Filter information matrix by tag: ARIMA, Filter information matrix by tag: coronavirus, Filter information matrix by tag: outliers