{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/catastrophe-risk-in-a-stochastic-multi","title":"Catastrophe Risk in a Stochastic Multi-Population Mortality Model","arxiv_id":"2306.15271","date":"2023-06-27","proceeding":null,"authors":["Jens Robben","Katrien Antonio"],"abstract":"This paper presents an approach to incorporate mortality shocks into mortality projections produced by a stochastic multi-population mortality model. The proposed model combines a decreasing stochastic mortality trend with a regime-switching mechanism that captures age-specific mortality shocks over a lengthy calibration period. The result is a flexible and powerful toolbox that actuaries and risk managers can tailor to their specific needs, risk appetite, or supervisory requirements. We illustrate the proposed mortality model with a case study on projecting Dutch mortality rates. Our findings show that the proposed model generates wider prediction intervals for the mortality rates compared to state-of-the-art stochastic mortality models. The width of these prediction intervals depends on the frequency and severity of the mortality shocks calibrated with the regime-switching model. Furthermore, we compare the solvency capital requirement (SCR) for mortality, longevity and catastrophe risk generated by our toolbox with the SCR under the Solvency II standard model.","url_abs":"https://arxiv.org/abs/2306.15271v2","url_pdf":"https://arxiv.org/pdf/2306.15271v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"links_only","authors_date_abstract":"arXiv metadata, CC0 1.0 (https://info.arxiv.org/help/license), from the Kaggle arXiv metadata snapshot of 2026-09-12"},"code_links":[{"paper_slug":"catastrophe-risk-in-a-stochastic-multi","repo_url":"https://github.com/robbenj/catastrophe-risk","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}