The impact of COVID-19 on new data risk within longevity capital models
20 Apr 2022
The COVID-19 pandemic has given companies a lot to think about over the past two years, with the heavy experience changing the way firms set best estimate mortality assumptions. An area which has had less attention is the impact on the calibration approach within Longevity Risk models.
Download our full article, where we consider the potential impact of the COVID-19 pandemic on these models, with a particular focus on new data risk. We cover the following areas:
- The definition of new data risk
- How new data risk can be quantified
- What impact 2020 data has on new data risk
- Whether 2020 data should be included in calibrations
Our team of longevity consultants has supported 5 Internal Model firms with the calibration or validation of their longevity risk model over the past 18 months. If new data risk, or any area of longevity capital modelling, is an area that you would like support in, we would be very happy to discuss this further. Please get in touch or email one of the article authors.
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