New paper on the handling of COVID-19 in ARIMA mortality forecasts

The COVID-19 pandemic in 2020 caused potentially severe distortion in mortality models. In an earlier paper we looked at solutions for a wide variety of mortality models in common use by actuaries.

In a new preprint Stephen Richards looks at the precise nature of the outlier caused by COVID-19 in the mortality of four European countries.  He finds evidence of lasting effects extending beyond 2020, with consequences for actuaries' mortality forecasts for pensions and annuities.