Visualising covid-19 in experience data

(Nov 1, 2020)

As 2020 edges to a close, life-office actuaries need to set mortality bases for year-end valuations.  An obvious question is what impact the covid-19 pandemic has had on the mortality experience of their portfolio?  One problem is that traditional actuarial analysis was often done on the basis of annual rates, whereas the initial covid-19 shock was delivered over a period of a couple of months in early 2020 in Europe.  Clearly one cannot properly assess the extent of such a short-term shock with annual rates, so what alternatives are available?

In an earlier blog, I defined a non-parametric estimator of short-term patterns in mortality.  The first step is to define a non-parametric estimator for the integrated…

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Tags: mortality shock, coronavirus

Mortality patterns in time

(Oct 8, 2020)

The COVID-19 pandemic has created strong interest in mortality patterns in time, especially mortality shocks.  Actuaries now have to consider the effect of such shocks in their portfolio data, and in this blog we consider a non-parametric method of doing this.

In an earlier blog, Angus talked about mortality data being "nearly always lumpy", and defined the Nelson-Aalen estimator of the integrated hazard from age \(x\) for such lumpy data:

\[ \hat{\Lambda}_x(t) = \sum_{t_i \le t} \frac{d_{x+t_i}}{l_{x+t_i^-}} \qquad (1) \]

where \(d_{x+t_i}\) lives die at a discrete age \(x+t_i\).  \(t_i\) is one of a set of observed times of death after age \(x\), \(\{t_1, t_2, \ldots, t_r\}\).  \(l_{x+t_i^-}\) is the…

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Tags: season, mortality shock, Nelson-Aalen

The Shock We Saw Coming?

(Apr 30, 2015)

The impact of a mortality shock is by definition hard to predict. We don't know with certainty if or when a shock might occur, or what effects it might have on mortality in the years that follow. However, something that might break this pattern is antimicrobial resistance (AMR), the property of certain pathogens - be they bacterial, viral or fungal - to evolve immunity to previously effective treatments. Although this is an area we've heard much about in recent times, it has actually been subject to rigorous examination for more than half a century. Resistance to penicillin was even warned of by its discoverer during his Nobel acceptance speech.

"The time may come when penicillin can be bought…

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Tags: mortality shock, AMR, antibiotics

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