Şahin, Şule orcid.org/0000-0003-4080-9165 and Özen, Selin (2024) A Quantitative Comparison of Mortality Models with Jumps:Pre- and Post-COVID Insights on Insurance Pricing. Risks. 53. ISSN 2227-9091
Abstract
Population events such as natural disasters, pandemics, extreme weather, and wars might cause jumps that have an immediate impact on mortality rates. The recent COVID-19 pandemic has demonstrated that these events should not be treated as nonrepetitive exogenous interventions. Therefore, mortality models incorporating jump effects are particularly important to capture the adverse mortality shocks. The mortality models with jumps, which we consider in this study, differ in terms of the duration of the jumps–transitory or permanent–the frequency of the jumps, and the size of the jumps. To illustrate the effect of the jumps, we also consider benchmark mortality models without jump effects, such as the Lee-Carter model, Renshaw and Haberman model and Cairns-Blake-Dowd model. We discuss the performance of all the models by analysing their ability to capture the mortality deterioration caused by COVID-19. We use data from different countries to simulate the mortality rates for the pandemic and post-pandemic years and examine their accuracy in forecasting the mortality jumps due to the pandemic. Moreover, we also examine the jump-free and jump models in terms of their impact on insurance pricing, specifically term annuity and life insurance present values calibrated for both pre- and post-COVID data.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2024 by the authors. |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > The York Management School |
Depositing User: | Pure (York) |
Date Deposited: | 15 Mar 2024 09:50 |
Last Modified: | 16 Oct 2024 19:50 |
Published Version: | https://doi.org/10.3390/risks12030053 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.3390/risks12030053 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:210279 |
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Description: A Quantitative Comparison of Mortality Models with Jumps: Pre- and Post-COVID Insights on Insurance Pricing
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