  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.
