Catastrophe Risk in a Stochastic Multi-Population Mortality Model
| Autor: | Robben, Jens, Antonio, Katrien |
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| Rok vydání: | 2023 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | This paper presents an approach to incorporate mortality shocks into mortality projections produced by a stochastic multi-population mortality model. The proposed model combines a decreasing stochastic mortality trend with a regime-switching mechanism that captures age-specific mortality shocks over a lengthy calibration period. The result is a flexible and powerful toolbox that actuaries and risk managers can tailor to their specific needs, risk appetite, or supervisory requirements. We illustrate the proposed mortality model with a case study on projecting Dutch mortality rates. Our findings show that the proposed model generates wider prediction intervals for the mortality rates compared to state-of-the-art stochastic mortality models. The width of these prediction intervals depends on the frequency and severity of the mortality shocks calibrated with the regime-switching model. Furthermore, we compare the solvency capital requirement (SCR) for mortality, longevity and catastrophe risk generated by our toolbox with the SCR under the Solvency II standard model. Comment: 48 pages, 18 figures |
| Databáze: | arXiv |
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