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.

翻译：本文提出了一种将死亡率冲击纳入随机多群体死亡率模型预测的方法。该模型将递减的随机死亡率趋势与能捕捉长期校准期内年龄特异性死亡率冲击的机制转换模型相结合，构建了一个灵活且强大的工具箱。精算师与风险管理者可根据特定需求、风险偏好或监管要求自主定制该模型。我们以荷兰死亡率预测为例进行案例研究，结果表明：与现有最先进随机死亡率模型相比，本模型生成的死亡率预测区间更宽；该预测区间的宽度取决于通过机制转换模型校准的死亡率冲击频率与严重程度。此外，我们还将工具箱生成的死亡率、长寿风险及巨灾风险偿付能力资本要求（SCR）与偿付能力II标准框架下的SCR进行了对比。