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Dependence models for mortalities using a copula state-space approach

Thursday, March 7, 2024 - 11:00 to 12:00
Ariane Hanebeck, PhD Student, Technical University of Munich
Statistics Seminar
ESB 4192 / Zoom

To join this seminar virtually: please request Zoom connection details from ea [at]

Abstract: We investigate how the COVID-19 pandemic has affected mortality experience of major causes, and more importantly how COVID-19 has changed the dependence structure across these causes. This enables us to gain more insights into the potential impact of COVID-19 on future life expectancy, and conduct scenario-based projections. For this we propose a dynamic copula state space approach, which quantifies and visualizes the joint dynamics across major causes of death, both before and during the pandemic. Based on US weekly mortality data from January 2015 to November 2022, we find that COVID-19 has elevated the mortality level for a majority of causes, and has changed the dependence structure across these causes.

This work is joint with Han Li, Centre for Actuarial Studies, Department of Economics, The University of Melbourne, Australia.