Frank van Berkum of the Research Centre for Longevity Risk and the Actuarial Sciences and Mathematical Finance Research Group at the University of Amsterdam; member of the CSO (the committee for mortality research of the Royal Dutch Actuarial Association).
Bertrand Melenberg of the Department Econometrics and Operations Research at Tilburg University; current head of the Department, former member and current advisor of the CSO.
Michel Vellekoop of the Research Centre for Longevity Risk and the Actuarial Sciences and Mathematical Finance Research Group at the University of Amsterdam, current Director of the Research Group, former member and current advisor of the CSO, member of the Management Team of AEMAS (the Amsterdam Executive Master Programme in Actuarial Science).
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.
Li-Lee model; multi-factor models; life expectancy; pandemic scenarios