Real-time measurement of portfolio mortality levels in the presence of shocks and reporting delays

Abstract 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. In this paper, we consider a semi-parametric approach for tracking portfolio mortality levels in continuous time. We identify both seasonal patterns and mortality shocks, thus providing a comparison benchmark for the impact of COVID-19 in terms of a portfolio’s own past experience. A parametric model is presented to allow for the average impact of seasonal variation and also reporting delays. We find that an estimate of mortality reporting delays can be made from a single extract of experience data. This can be used to forecast unreported deaths and improve estimates of recent mortality levels. Results are given for annuity portfolios in France, the UK and the USA.