Frank van Berkum , Bertrand Melenberg , Michel Vellekoop
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引用次数: 0
Abstract
We present an extension of the Li and Lee model to quantify mortality in five European countries during the COVID-19 pandemic. The first two layers specify pre-COVID mortality, with the first one modeling the common trend and the second one the country-specific deviation from the common trend. We calibrate this part of the model using annual data from 1970 to 2019 and then add a third layer to capture the country-specific impact of COVID-19 in 2020 and 2021. The calibration of the added layer is based on data with a higher granularity in time, since we analyze weekly instead of annual data. We also investigate whether estimates improve if we increase the granularity over the ages, utilizing data we obtained for single ages instead of the usual aggregated age groups. We complement our analysis by presenting mortality forecasts based on different possible scenarios for the future course of the pandemic and a backtest in which we compare predictions of Dutch mortality improvements from 2021 to 2022 against their realizations. The results from this backtest can be used to update mortality forecasts as new observations become available.
期刊介绍:
Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world.
Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.