A multi-parameter-level model for simulating future mortality scenarios with COVID-alike effects

Abstract

There has been a growing interest among pension plan sponsors in envisioning how the mortality experience of their active and deferred members may turn out to be if a pandemic similar to the COVID-19 occurs in the future. To address their needs, we propose in this paper a stochastic model for simulating future mortality scenarios with COVID-alike effects. The proposed model encompasses three parameter levels. The first level includes parameters that capture the long-term pattern of mortality, whereas the second level contains parameters that gauge the excess age-specific mortality due to COVID-19. Parameters in the first and second levels are estimated using penalised quasi-likelihood maximi..