Working Paper 214 considers the interaction between mortality base tables and mortality improvement assumptions and particularly emphasises the need for consistency between these following the COVID-19 pandemic.
It is important to ensure consistency between elevated mortality during the experience period and the assumed run-off of that elevated mortality within the improvement assumption, to avoid under-stating or over-stating the impact of the pandemic on the combined future mortality assumption. It is also necessary to consider base mortality and improvements for a consistent population, as both differ between the general population and specific portfolios.We consider two common approaches for setting a base mortality assumption, considering how well they worked before the pandemic and highlighting some pitfalls and challenges when applying them to an investigation period that includes the pandemic.
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