  This paper extends the Lee-Carter model to include vanishing jumps on
mortality rates, where the impact is highest in the beginning and then
gradually diminishes. Existing models either account for transitory jumps over
one period or permanent shifts. However, there is no literature on estimating
mortality time series with jumps that have a vanishing effect over a small
number of periods, as is typically observed in pandemics. Using COVID-19 data,
our proposed Bayesian model outperforms transitory shock models in terms of
in-sample fit, thus providing a more comprehensive representation of mortality
rates during a pandemic.
