covid-19 mortality modeling survey summary of results · covid-19 mortality modeling survey summary...

April 2020

COVID-19 Mortality Modeling Survey Summary of Results April 13, 2020

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Copyright © 2020 Society of Actuaries, LL Global, Inc., and Oliver Wyman

COVID-19 Mortality Modeling Survey Summary of Results April 13, 2020

Caveat and Disclaimer This study is published by the Society of Actuaries (SOA), LIMRA and Oliver Wyman and contains information from a variety of sources. The study is for informational purposes only and should not be construed as professional or financial advice. The SOA does not recommend or endorse any use of the information provided in this study. The authors make no warranty, express or implied, or representation whatsoever and assumes no liability in connection with the use or misuse of this study. Copyright © 2020 by the Society of Actuaries, LL Global, Inc. and Oliver Wyman. All rights reserved.

AUTHORS

Scott Campion, Partner, Oliver Wyman

Cynthia S. MacDonald, FSA, MAAA, SOA

Marianne Purushotham, FSA, MAAA, LIMRA

Kristin Ricci, Partner, Oliver Wyman

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CONTENTS

Section 1: Introduction ...................................................................................................................................... 4

Section 2: Survey Highlights ............................................................................................................................... 5

Section 3: Mortality Modeling Survey Questions and Response Detail ............................................................... 6 3.1 From what perspective are you responding to this survey? ......................................................................... 6 3.2 Is your company modeling COVID-19 mortality scenarios? .......................................................................... 6 3.3 What factors are you incorporating in modeling COVID-19 mortality scenarios? ....................................... 7 3.4 Rank the factors you are incorporating in modeling COVID-19 mortality scenarios in order of

importance to the model results. ......................................................................................................................... 7 3.5 What is your view of Deaths in a baseline scenario? [Total US Population] ................................................ 8 3.6 What is your view of Deaths in a worst case scenario? [Total US Population] ............................................ 8 3.7 What is your view of Infection Rates in a baseline scenario? [Total US Population] ................................... 9 3.8 What is your view of Infection Rates in a worst case scenario? [Total US Population] ............................... 9 3.9 What is your view of Case Fatality Rates in a baseline scenario? [Total US Population] ........................... 10 3.10 What is your view of Case Fatality Rates in a worst case scenario? ......................................................... 10 3.11 What % of your life insurance mortality claims are due to Influenza/Pneumonia in a typical year? ..... 11 3.12 What Is your company’s current view on the approximate impact of COVID-19 on your company’s

2020 individual life insurance mortality claims? ................................................................................................ 11 3.13 What Is your company’s current view on the approximate impact of COVID-19 on your company’s

2020 group life insurance mortality claims? ...................................................................................................... 12 3.14 On average, what is the household income level range for your life insurance policyholders? ............. 12 3.15 Which of the following best describes your company’s biggest concern related to covid-19 and

reinsurance? ......................................................................................................................................................... 13 3.16 What Information sources are you using to inform your company’s COVID-19 mortality estimates? .. 13 3.17 How frequently are you providing updates to key stakeholder groups regarding preparedness for

COVID-19 mortality impacts? .............................................................................................................................. 14

Section 4: Acknowledgments ........................................................................................................................... 15

About The Society of Actuaries ........................................................................................................................ 16

About LIMRA ................................................................................................................................................... 17

About Oliver Wyman ....................................................................................................................................... 17

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COVID-19 Mortality Modeling Survey Summary of Results

Section 1: Introduction

The Society of Actuaries (SOA) has partnered with LIMRA, Oliver Wyman, and the American Council of Life Insurance

(ACLI) to conduct a series of ‘sprint’ surveys on the coronavirus (COVID-19) pandemic and its potential impacts on

the U.S. life insurance industry. This report contains a summary of the results of the first survey on best practices in

monitoring and modeling the potential impact of COVID-19 mortality on life insurance industry claims. The survey

was directed at actuaries and/or risk management staff of insurers and reinsurers in the U.S. and Canada. Fifty-three

companies responded to the survey. Highlights of the survey responses are found in Section 2 and a summary of

results for each question in the survey is found in Section 3.

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Section 2: Survey Highlights

This survey covers four topics related to COVID-19 mortality: modeling, scenarios, claims/impact, and

data/communication.

Modeling: Most respondents (85%) report modeling COVID-19 mortality scenarios. The top two factors incorporated

in modeling are age and infection rates and case fatality rates, which are used by more than half of respondents.

Many respondents also report incorporating time period and geography in their models.

Scenarios: When asked about their view of the ultimate number of COVID-19 deaths for 2020 in the U.S. population,

a plurality of respondents expect 100,000 to 250,000 deaths in a baseline scenario and 1 million to 5 million deaths

in a worst case scenario.

For U.S. infection rates for 2020, a plurality of respondents expect a <15% infection rate in a baseline scenario and a

25-50% infection rate in a worst case scenario. Infection rates are not expected to vary significantly across age

groups; however, respondents do expect differences by age for case fatality rates (CFR).

Most respondents expect the CFR will be <0.5% for ages under 40, 0.5%-2.5% for ages 40-60, 2.5%-10% for ages 60-

80, and 5%-15% for ages 80+ in a baseline scenario. In a worst case scenario, most respondents still expect the CFR

will be <0.5% for ages under 40, 0.5%-2.5% for ages 40-60, 5%-10% for ages 60-80, and >15% for ages 80+.

Claims / Impact: About two-thirds of respondents don’t know or don’t track the percentage of influenza/pneumonia

claims relative to total claims. Of those who do have this information, 80% reported that influenza/pneumonia

deaths make up less than 5% of total claims. For COVID-19 mortality claims, most respondents expect a larger

increase for individual life claims (>10%) vs. group life claims (1%-5%).

The survey requested information on the quintile level of household income of their policyholders. Given that

mortality levels tend to vary with socio-economic status, knowing this information may be useful in benchmarking

future mortality against population mortality statistics. About 40% of the responses were ‘did not know’; the

remaining responses varied, indicating socio-economic diversity across companies.

Respondents report a range of views on the potential impact of COVID-19 on reinsurance: about a third are not

worried about reinsurance in light of COVID-19, while about a quarter are worried about reinsurer financial health

or changes in underwriting standards for what reinsurers will accept.

Data / Communication: Respondents report using a wide range of information sources to support COVID-19 efforts;

>80% are using government data sources, with more than half using academic studies, or vendor consultation.

Many survey respondents report daily updates to senior management, monthly board updates, and ad hoc updates

with regulators and rating agencies. Questions from these stakeholder groups are often focused on COVID-19’s

impact on financial health, modeling efforts, and policyholder behavior.

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Section 3: Mortality Modeling Survey Questions and Response Detail

3.1 FROM WHAT PERSPECTIVE ARE YOU RESPONDING TO THIS SURVEY?

*Other includes Chief Actuaries, Risk Management, Experience Studies, and Assumption Setting Functions

3.2 IS YOUR COMPANY MODELING COVID-19 MORTALITY SCENARIOS?

2

9

18

24

0

5

10

15

20

25

30

Pricing Actuary Valuation Actuary Pricing and ValuationActuary

Other*

# o

f C

om

pan

ies

45

8

0

5

10

15

20

25

30

35

40

45

50

Yes No

# o

f C

om

pan

ies

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3.3 WHAT FACTORS ARE YOU INCORPORATING IN MODELING COVID-19 MORTALITY SCENARIOS?

(SELECT ALL THAT APPLY)

3.4 RANK THE FACTORS YOU ARE INCORPORATING IN MODELING COVID-19 MORTALITY SCENARIOS IN ORDER OF

IMPORTANCE TO THE MODEL RESULTS.

(CHART INDICATES THE NUMBER OF COMPANIES THAT RATED THE GIVEN FACTOR IN THE TOP 3 IN TERMS OF

IMPORTANCE.)

32

41

13

7

12

8

1618

6 6

0

5

10

15

20

25

30

35

40

45

# o

f C

om

pan

ies

Factor

32

41

7

3 42

118

2 3

0

5

10

15

20

25

30

35

40

45

# o

f C

om

pan

ies

Factor Ranked in Top 3

8


3.5 WHAT IS YOUR VIEW OF DEATHS IN A BASELINE SCENARIO? [TOTAL US POPULATION]

WHEN ANSWERING THE FOLLOWING QUESTION, RESPOND WITH YOUR VIEW ON THE ULTIMATE NUMBER OF

DEATHS FROM COVID-19 FOR 2020 IN THE U.S. POPULATION (I.E. NOT SPECIFIC TO YOUR INSURED BLOCK).

3.6 WHAT IS YOUR VIEW OF DEATHS IN A WORST CASE SCENARIO? [TOTAL US POPULATION]

WHEN ANSWERING THE FOLLOWING QUESTION, RESPOND WITH YOUR VIEW ON THE ULTIMATE NUMBER OF

DEATHS FROM COVID-19 FOR 2020 IN THE U.S. POPULATION (I.E. NOT SPECIFIC TO YOUR INSURED BLOCK).

2

13

27

11

00

5

10

15

20

25

30

Less than 25,000 25,000 but less than100,000

100,000 but lessthan 250,000

250,000 but lessthan 1M

1M or over

# o

f C

om

pan

ies

# of Deaths

0

2

8

18

25

00

5

10

15

20

25

30

Less than 25,000 25,000 but lessthan 100,000

100,000 but lessthan 250,000

250,000 but lessthan 1M

1M but less than5M

5M or over

# o

f C

om

pan

ies

# of Deaths

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3.7 WHAT IS YOUR VIEW OF INFECTION RATES IN A BASELINE SCENARIO? [TOTAL US POPULATION]

WHEN ANSWERING THE FOLLOWING QUESTION, RESPOND WITH YOUR VIEW ON THE ULTIMATE INFECTION RATES

FOR COVID-19 DEATHS FOR 2020 IN THE U.S. POPULATION (I.E. NOT SPECIFIC TO YOUR INSURED BLOCK).

3.8 WHAT IS YOUR VIEW OF INFECTION RATES IN A WORST CASE SCENARIO? [TOTAL US POPULATION]

WHEN ANSWERING THE FOLLOWING QUESTION, RESPOND WITH YOUR VIEW ON THE ULTIMATE INFECTION RATES

FOR COVID-19 DEATHS FOR 2020 IN THE U.S. POPULATION (I.E. NOT SPECIFIC TO YOUR INSURED BLOCK).

15

8

6

1

23

15

67

2

23

13

98

23

15

8 8

22

14

9

7

1

22

25

9

13

6

0

5

10

15

20

25

30

Under 15% 15% but lessthan 25%

25% but lessthan 50%


75% or over Not modeling byage

# o

f C

om

pan

ies

Infection Rate

Under Age 20

20 but less than 40

40 but less than 60

60 but less than 80

Age 80 or over

Overall Population

5 5

13

7

1

22

45

12

8

2

22

3

6

12

9

1

22

3

6

13

8

2

21

3

6

13

8

2

21

6

10

17

13

2

5

0

5

10

15

20

25

Under 15% 15% but lessthan 25%



75% or over Not modeling byage

# o

f C

om

pan

ies

Infection Rate

Under Age 20

20 but less than 40

40 but less than 60

60 but less than 80

Age 80 or over

Overall Population

10


3.9 WHAT IS YOUR VIEW OF CASE FATALITY RATES IN A BASELINE SCENARIO? [TOTAL US POPULATION]

WHEN ANSWERING THE FOLLOWING QUESTION, RESPOND WITH YOUR VIEW ON THE ULTIMATE CASE FATALITY

RATES FOR COVID-19 DEATHS FOR 2020 IN THE U.S. POPULATION (I.E. NOT SPECIFIC TO YOUR INSURED BLOCK).

3.10 WHAT IS YOUR VIEW OF CASE FATALITY RATES IN A WORST CASE SCENARIO?

WHEN ANSWERING THE FOLLOWING QUESTION, RESPOND WITH YOUR VIEW ON THE ULTIMATE CASE FATALITY

RATES FOR COVID-19 DEATHS FOR 2020 IN THE U.S. POPULATION (I.E. NOT SPECIFIC TO YOUR INSURED BLOCK).

35

6

12

31

10

12

8

30

3

12

2

8

1516

12

24

6

1110

8

12

4

36

8

5

0

5

10

15

20

25

30

35

40

Under 0.5% 0.5% but lessthan 2.5%

2.5% but lessthan 5%

5% but lessthan 10%


15% or over Not modelingby age

# o

f C

om

pan

ies

Case Fatality Rate (deaths per confirmed cases)

Under Age 20

20 but less than 40

40 but less than 60

60 but less than 80

Age 80 or over

Overall Population

29

10

3

11

22

14

6

11

5

21

14

2

11

1

4

8

20

9

11

12

3

7

12

17

11

1

17

25

46

0

5

10

15

20

25

30

35

Under 0.5% 0.5% but lessthan 2.5%

2.5% but lessthan 5%

5% but lessthan 10%


15% or over Not modelingby age

# o

f C

om

pan

ies

Case Fatality Rate (deaths per confirmed cases)

Under Age 20

20 but less than 40

40 but less than 60

60 but less than 80

Age 80 or over

Overall Population

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3.11 WHAT % OF YOUR LIFE INSURANCE MORTALITY CLAIMS ARE DUE TO INFLUENZA/PNEUMONIA IN A TYPICAL

YEAR?

ASSUME A TYPICAL YEAR OCCURS 90% OF THE TIME AND CLAIMS ARE IN TERMS OF THE # OF POLICIES

3.12 WHAT IS YOUR COMPANY’S CURRENT VIEW ON THE APPROXIMATE IMPACT OF COVID-19 ON YOUR

COMPANY’S 2020 INDIVIDUAL LIFE INSURANCE MORTALITY CLAIMS?

ASSUME % INCREASE IN DEATH CLAIMS IN DOLLARS OVER 2019

Includes all companies with individual life insurance mortality risk.

53

5

0 0

4

34

2

0

5

10

15

20

25

30

35

40

0 but lessthan 1%

1% but lessthan 2%

2% but lessthan 3%

3% but lessthan 4%

4% but lessthan 5%

5% or over Don'tknow/Don't

track

Other

# o

f C

om

pan

ies

% of Claims (#)

4

15

7

19

2

6

0

2

4

6

8

10

12

14

16

18

20

0 but less than1%

1% but less than5%

5% but less than10%

10% or over Other Not modeling

# o

f C

om

pan

ies

% Increase in Claim $'s

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3.13 WHAT IS YOUR COMPANY’S CURRENT VIEW ON THE APPROXIMATE IMPACT OF COVID-19 ON YOUR

COMPANY’S 2020 GROUP LIFE INSURANCE MORTALITY CLAIMS?

ASSUME % INCREASE IN DEATH CLAIMS IN DOLLARS OVER 2019

3.14 ON AVERAGE, WHAT IS THE HOUSEHOLD INCOME LEVEL RANGE FOR YOUR LIFE INSURANCE POLICYHOLDERS?

[RESPONSES IN TERMS OF PERCENTILE – US POPULATION]

4

13

3

6

1

4

0

2

4

6

8

10

12

14

0 but less than1%

1% but less than5%

5% but less than10%

10% or over Other Not modeling

# o

f C

om

pan

ies

% Increase in Claim $'s

7

4

9 9

3

21

0

5

10

15

20

25

Top 20thPercentile

21st-40thPercentile

41st-60thPercentile

61st-80thPercentile

81st-100thPercentile

Don't know

# o

f C

om

pan

ies

Household Income Percentile Group

13


3.15 WHICH OF THE FOLLOWING BEST DESCRIBES YOUR COMPANY’S BIGGEST CONCERN RELATED TO COVID-19

AND REINSURANCE?

3.16 WHAT INFORMATION SOURCES ARE YOU USING TO INFORM YOUR COMPANY’S COVID-19 MORTALITY

ESTIMATES?

(SELECT ALL THAT APPLY)

.

14

1

3

11

18

6

0

2

4

6

8

10

12

14

16

18

20

Financial healthof reinsurers

Ability to accessnew reinsurance

Renewal terms Changes inunderwriting

standards

Not an area ofconcern

Other

# o

f C

om

pan

ies

Concern

32

46

31

20 20

3

0

5

10

15

20

25

30

35

40

45

50

# o

f C

om

pan

ies

Information Source

14


3.17 HOW FREQUENTLY ARE YOU PROVIDING UPDATES TO KEY STAKEHOLDER GROUPS REGARDING

PREPAREDNESS FOR COVID-19 MORTALITY IMPACTS?

22

19

14

4

8

16

8 8

3

22

40

44

0

5

10

15

20

25

30

35

40

45

50

Senior management Board Regulators Rating agencies

# o

f C

om

pan

ies

Key Stakeholders

Daily

Weekly

Monthly

Other

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Section 4: Acknowledgments

The SOA, LIMRA, and Oliver Wyman would like to thank the industry Low Interest Rate Task Force (established in

January 2020 by LIMRA, Oliver Wyman and ACLI), as well as the following individuals for their support in the design

and development of the survey.

Brian Bayerle, FSA, MAAA, ACLI

Ed Hui, FSA, Hannover Life Re

Derek Kueker, FSA, MAAA, RGA

Tim Morant, FSA, MAAA, Munich Re

David Seidel, FSA, MAAA, Securian

Steve Verhagen, FSA, MAAA, CUNA Mutual

We would also like to thank the many companies who participated in the survey.

Allianz Life OneAmerica

Allstate PanAmerican Life

American Health and Life Insurance Company Pavonia Life Insurance Company of Michigan

Ameriprise Penn Mutual Life Insurance

Ameritas Principal

Athene Protective Life

Boston Mutual Life Insurance Company Prudential Financial

Catholic Order of Foresters Sagicor Financial Company Limited

Catholic United Financial Sammons Financial

CFG SBLI

CNO Financial Securian Financial

Combined Insurance Company Sentinel Security Life Insurance

CUNA State Farm Life

Equitable Symetra

Global Atlantic Financial Group Talcott Resolution

Great American Texas Service Life Insurance Company

Guardian Life Insurance The Independent Order of Foresters Financial)

Investors Heritage Life Insurance Company The Union Labor Life Insurance Company

John Hancock Thrivent

MassMutual Transamerica

Modern Woodmen of America Unum Group

Munich Re USAble Life

Mutual of Omaha Vantis Life Insurance Company

National Life Group Voya Financial

Nationwide Western & Southern Financial Group

New York Life WoodmenLife

Northwestern Mutual

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About The Society of Actuaries

With roots dating back to 1889, the Society of Actuaries (SOA) is the world’s largest actuarial professional

organizations with more than 31,000 members. Through research and education, the SOA’s mission is to advance

actuarial knowledge and to enhance the ability of actuaries to provide expert advice and relevant solutions for

financial, business and societal challenges. The SOA’s vision is for actuaries to be the leading professionals in the

measurement and management of risk.

The SOA supports actuaries and advances knowledge through research and education. As part of its work, the SOA

seeks to inform public policy development and public understanding through research. The SOA aspires to be a

trusted source of objective, data-driven research and analysis with an actuarial perspective for its members,

industry, policymakers and the public. This distinct perspective comes from the SOA as an association of actuaries,

who have a rigorous formal education and direct experience as practitioners as they perform applied research. The

SOA also welcomes the opportunity to partner with other organizations in our work where appropriate.

The SOA has a history of working with public policymakers and regulators in developing historical experience studies

and projection techniques as well as individual reports on health care, retirement and other topics. The SOA’s

research is intended to aid the work of policymakers and regulators and follow certain core principles:

Objectivity: The SOA’s research informs and provides analysis that can be relied upon by other individuals or

organizations involved in public policy discussions. The SOA does not take advocacy positions or lobby specific policy

proposals.

Quality: The SOA aspires to the highest ethical and quality standards in all of its research and analysis. Our research

process is overseen by experienced actuaries and non-actuaries from a range of industry sectors and organizations.

A rigorous peer-review process ensures the quality and integrity of our work.

Relevance: The SOA provides timely research on public policy issues. Our research advances actuarial knowledge

while providing critical insights on key policy issues, and thereby provides value to stakeholders and decision

makers.

Quantification: The SOA leverages the diverse skill sets of actuaries to provide research and findings that are driven

by the best available data and methods. Actuaries use detailed modeling to analyze financial risk and provide

distinct insight and quantification. Further, actuarial standards require transparency and the disclosure of the

assumptions and analytic approach underlying the work.

Society of Actuaries

475 N. Martingale Road, Suite 600

Schaumburg, Illinois 60173

www.SOA.org

https://www.soa.org/

17


About LIMRA

Established in 1916, LIMRA is a research and professional development not-for-profit trade association for the

financial services industry. More than 600 insurance and financial services organizations around the world rely on

LIMRA’s research and educational solutions to help them make bottom-line decisions with greater confidence.

Companies look to LIMRA for its unique ability to help them understand their customers, markets, distribution

channels and competitors and leverage that knowledge to develop realistic business solutions.

Visit LIMRA at www.limra.com.

About Oliver Wyman Oliver Wyman is a global leader in management consulting. With offices in 60 cities across 29 countries, Oliver

Wyman combines deep industry knowledge with specialized expertise in strategy, operations, risk management, and

organization transformation. The firm has more than 5,000 professionals around the world who work with clients to

optimize their business, improve their operations and risk profile, and accelerate their organizational performance

to seize the most attractive opportunities. Oliver Wyman is a wholly owned subsidiary of Marsh & McLennan

Companies [NYSE: MMC]. For more information, visit www.oliverwyman.com. Follow Oliver Wyman on Twitter

@OliverWyman.

http://www.limra.com/

http://www.oliverwyman.com/

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