New paper on real-time mortality tracking

The Annals of Actuarial Science has just published an article on the real-time tracking of mortality in the presence of shocks, such as those caused by COVID-19. The final article can be accessed here (there is an earlier preprint here).

The COVID-19 pandemic requires that actuaries track short-term mortality fluctuations in the portfolios they manage. This demands methods that not only operate over much shorter time periods than a year, but that also deal with reporting delays. The paper presents a semi-parametric approach for tracking portfolio mortality levels in continuous time. A parametric model is further proposed to allow for reporting delays. Combining the two, we find that we can forecast unreported deaths and improve estimates of recent mortality levels. Results are given for annuity portfolios in France, the UK and the USA. The methodology is implemented in the Longevitas survival-modelling software.

References

Richards, S. J. (2022) Real-time measurement of portfolio mortality levels in the presence of shocks and reporting delays, Annals of Actuarial Science., doi 10.1017/S1748499522000021.