Evaluating the impact of stochastic interest rates and COVID-19 on financial performance under IFRS 17

Çiğdem Lazoğlu and Uğur Karabey
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Çiğdem Lazoğlu: Graduate School of Science and Engineering, Hacettepe University, Ankara
Uğur Karabey: Department of Actuarial Sciences, Hacettepe University

JODE - Journal of Demographic Economics, 2026, vol. 92, issue 2, 277-296

Abstract: The emergence of COVID-19 has resulted in a notable rise in mortality rates, consequently affecting various sectors, including the insurance industry. This paper analyzes the reflections of a sudden increase in mortality rates on the financial performance of a survival benefit scenario under the International Financial Reporting Standard 17. For this purpose, we thoroughly examined a single insurance scenario under four different states by modifying the interest and jump elements. We use Poisson-log bilinear Lee–Carter and Vasicek models for mortality and stochastic interest rate, respectively. Integrating the mortality model with a jump model that incorporates COVID-19 deaths we constructed a temporary mortality jump model. As a result, the temporary mortality jump model reflects the effects of the pandemic more realistically. We observe that even in this case mortality has a minor impact, whereas interest rates significantly still affect the financial position and performance of insurance companies.

Keywords: COVID-19; IFRS 17; Poisson log-bilinear Lee-carter model; Temporary mortality jump model; Vasicek Model (search for similar items in EconPapers)
JEL-codes: C53 G22 J11 M41 (search for similar items in EconPapers)
Date: 2026-05-07
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Persistent link: https://EconPapers.repec.org/RePEc:ctl:louvde:v:92:y:2026:i:2:p:277-296

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