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Bayesian mortality modelling with pandemics : a vanishing jump approach
Goes, Julius; Barigou, Karim; Leucht, Anne (2025): Bayesian mortality modelling with pandemics : a vanishing jump approach, in: Journal of the Royal Statistical Society. Series C, Applied statistics, Kettering ; Cary, NC ; Tokyo: Oxford University Press, Jg. 74, Nr. 4, S. 1150–1182, doi: 10.1093/jrsssc/qlaf018.
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Author:
Title of the Journal:
Journal of the Royal Statistical Society. Series C, Applied statistics
ISSN:
1467-9876
Publisher Information:
Year of publication:
2025
Volume:
74
Issue:
4
Pages:
Language:
English
Abstract:
This paper extends the Lee-Carter model for single- and multi-populations to account for pandemic jump effects of vanishing kind, allowing for a more comprehensive and accurate representation of mortality rates during a pandemic, characterised by a high impact at the beginning and gradually vanishing effects over subsequent periods. While the Lee-Carter model is effective in capturing mortality trends, it may not always be able to account for large, unexpected jumps in mortality rates caused by pandemics or wars. Existing models allow either for transient jumps with an effect of one period only or persistent jumps. However, there is no literature on estimating mortality time series with jumps having an effect over a small number of periods, as is typically observed in pandemics. The Bayesian approach allows to quantify the uncertainty around the parameter estimates. Empirical data from the COVID-19 pandemic show the superiority of the proposed approach, compared to models with a transitory shock effect.
Keywords: ;  ;  ; 
Stochastic mortality modelling
Pandemic shocks
jump effects
Bayesian inference
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Peer Reviewed:
Yes:
International Distribution:
Yes:
Type:
Article
Activation date:
March 17, 2026
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Question on publication
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https://fis.uni-bamberg.de/handle/uniba/114295