Faculty of Actuarial Science and Insurance seminar with Şule Şahin

“Expect the Unexpected: Modelling Mortality in the Presence of Catastrophic Events”

Abstract: Population events such as natural disasters, pandemics, extreme weather, and wars can cause abrupt changes with immediate impacts on mortality rates. The recent COVID-19 pandemic has demonstrated that these events should not be treated as isolated, non-repetitive exogenous interventions. As such, mortality models that aim to capture pandemic-type shocks in the mortality curve are essential.
This presentation is composed of two parts:Part I: We introduce an extension to the Lee–Carter mortality model by incorporating what we describe as “conical” distributions: Normal, Laplace, and Hyperbolic, both symmetric and skewed. We investigate whether a COVID-type pandemic could have been forecast based on pre-pandemic mortality data.Part II: Mortality models with jump effects are especially useful for capturing adverse mortality shocks. The jump models we explore differ by the duration of jumps (transitory or permanent), their frequency, and size. For comparison, we also consider benchmark models without jump components, including the Lee–Carter model, the Renshaw–Haberman model, and the Cairns–Blake–Dowd model. We evaluate model performance by assessing their ability to capture mortality deterioration during the COVID-19 pandemic. Using data from multiple countries, we simulate mortality rates for pandemic and post-pandemic years and assess the accuracy of forecasts that account for mortality jumps. Additionally, we examine the impact of jump-free and jump models on insurance pricing—specifically the present values of term annuities and life insurance—using calibrations based on both pre- and post-COVID data.

Biography: Şule Şahin is currently a Senior Lecturer in Actuarial Science at the University of York. Previously, she served as a Lecturer in Actuarial and Financial Mathematics at the University of Liverpool (2017-2022) and held an Associate Professor position in the Department of Actuarial Sciences at Hacettepe University, Türkiye, from 2018 to 2020. She is the Director of the Centre for Actuarial Compensation and Valuation of Life (CAVOL), a member of the Ogden Working Party responsible for the analyses underpinning the Ogden Tables used in determining compensation for personal injury and fatal accident cases, and a Board Member of the AFIR-ERM section of the International Actuarial Association (IAA).Dr Şahin earned her PhD in Actuarial Mathematics from Heriot-Watt University in 2010. She also holds an MSc in Actuarial Science from Hacettepe University, an MSc in Sociology, and a BSc in Statistics from the Middle East Technical University in Ankara, Türkiye. She is a Fellow of the Institute and Faculty of Actuaries and a Corresponding Member of the Actuarial Society of Türkiye.Her research interests include stochastic investment models for long-term applications, mortality modelling, and compensation for loss of earnings. She has undertaken research visits to the University of the Witwatersrand, Johannesburg, in 2012 and Columbia University, New York, in 2019 as part of projects funded by the University of the Witwatersrand, the Casualty Actuarial Society, and the Society of Actuaries. In addition to attending numerous conferences, she has published papers in leading actuarial, applied mathematics, and statistics journals. Dr Şahin is also a co-editor of the open-access Springer Actuarial Series book, Pandemics: Insurance and Social Protection, published in 2021.

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