@techreport{Hanewald2011Stochastic,
abstract = {Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we develop a dynamic asset-liability model to assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in this stochastic simulation framework are driven by a GDP-linked variant of the Lee-Carter mortality model. Furthermore, interest rates and stock prices react to changes in GDP, which itself is modelled as a stochastic process. Our simulation results show that insolvency probabilities are significantly higher when the reaction of mortality rates to changes in GDP is incorporated.},
address = {Frankfurt am Main},
author = {Katja Hanewald and Thomas Post and Helmut Gr\"{u}ndl},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {330; Lebensversicherung; Betriebliche Liquidit\"{a}t; Insolvenz; Konjunktur; Sterblichkeit; Stochastischer Prozess; Theorie},
language = {eng},
number = {01/11},
publisher = {International Center for Insurance Regulation, House of Finance, Goethe University},
title = {Stochastic mortality, macroeconomic risks, and life insurer solvency},
type = {ICIR Working Paper Series},
url = {http://hdl.handle.net/10419/64134},
year = {2011}
}
