The COVID-19 pandemic caused sharp spikes in mortality rates in both population and insurer data sets.  These spikes present problems for actuaries using recent mortality-experience data to calibrate bases for long-term insurance calculations.  The following links provide materials on dealing with mortality shocks in portfolio experience data.

The resources below cover the analysis of portfolio data affected by shocks like COVID-19.  For mortality projections, see our page on robust forecasting.

Blogs

On the real-time tracking of portfolio mortality levels:

• US and UK portfolios.
• Identifying mortality shocks, such as covid-19 spikes.
• Identifying normal patterns, such as seasonal variation.
• Allowing for reporting delays.
• Interactive software tools for exploring patterns in time.

On accounting for mortality shocks in mortality analysis:

• Avoiding bias using a flexible mortality trend.
• Background on splines.

Presentations

• Institute and Faculty of Actuaries webinar, December 2021.
• Longevitas client webinar, September 2021.
• Longevity 16 conference, August 2021.
• Institute and Faculty of Actuaries webinar, April 2021.
• IFoA mortality symposium, March 2021.
• Longevitas client webinar, February 2021.
• Scottish Independent Actuaries, December 2020.

Articles

The Actuary magazine carried an article on how to accommodate mortality shocks in portfolio mortality models.

Papers

• The Annals of Actuarial Science published a paper on real-time tracking of portfolio mortality levels (preprint).
• The British Actuarial Journal published a paper on allowing for shocks in portfolio mortality analysis (preprint).