COVID-19 accelerated mortality shocks and the impact on life insurance: the Italian situation

Abstract

The Covid-19 pandemic caused an alarming mortality stress. The evidence shows that a significant proportion of people who die from Covid-19 are in a frail state. According to this consideration, we assume that the mortality shocks are related to a group of the individuals with some co-morbidities at Covid-19 diagnosis. In other words, the mortality shocks present a specific characterisation, which consists of a causal connection with pre-existing conditions, and the phenomenon could be described as a mortality acceleration. In this paper, an Accelerated Mortality Model is proposed in order to capture the different effects on mortality that depend on the evolution of the pandemic and the presence of co-morbidities at diagnosis. Furthermore, we assess the impact of Covid-19 mortality acceleration on a set of traditional life insurance contracts. We observe that, although mortality acceleration by Covid-19 affects more markedly the elderly and unhealthy sub-populations, it could be considered as a temporary shock with a limited impact on the life insurance market.

COVID-19 and Excess Mortality: An Actuarial Study

“…Similarly, the decreases or increases in variance are almost 10-fold. Our results align with Carannante et al (2022) and Schnürch et al (2022), whereby the annuity premiums decrease and the death-contingent insurance products increase, as is expected.…”

The Future Evolution of the Mortality Acceleration Due to the COVID-19: The Charlson Comorbidity Index in Stochastic Setting

“…The empirical evidence in medical and actuarial literature shows that many of those who die from coronavirus would have died anyway in the relatively near future due to their existing frailties or co-morbidities ( 5 , 8 , 25 – 27 ). The underlying idea according to deaths is “accelerated” ahead of schedule due to COVID-19 representing a mortality acceleration.…”

“…According to ( 8 ), we introduce the Mortality Acceleration as the spread between the mortality projections:…”

Effect of the COVID-19 frailty heterogeneity on the future evolution of mortality by stratified weighting

“…According to Carannante et al . (2022b), implied frailty is a tool to measure the sensitivity of a population to an exogenous shift of mortality. The idea of implied frailty (in the context of COVID-19) is that the pandemic did not affect the entire population without distinction, but the mortality shocks depend on the presence of previous conditions that the infection has aggravated.…”

“…We also assume that the mortality rates in a population may experience sudden jumps, due to a critical change in living conditions, such as recently it occurred with the COVID-19 pandemic, where the SARS-CoV-2 virus has amplified the excess of deaths in the presence of the pre-existing comorbidities, by leading to a worsening of the health status of individuals [Carannante et al (2022a[Carannante et al ( , 2022b]. The acceleration of mortality represents the underlying insight whereby deaths are "accelerated" ahead of schedule (or brought forward in time) due to COVID-19 [Cairns et al (2020)].…”