Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25331
Authors: 
Hanewald, Katja
Post, Thomas
Gründl, Helmut
Year of Publication: 
2009
Series/Report no.: 
SFB 649 discussion paper 2009,015
Abstract: 
Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in our stochastic simulation framework are driven by a GDP-linked variant of the Lee-Carter mortality model. Furthermore, interest rates and stock prices are allowed to react to changes in GDP, which itself is modeled as a stochastic process. Our results show that insolvency probabilities are significantly higher when the reaction of mortality rates to changes in GDP is incorporated.
Subjects: 
Life insurance
asset-liability management
stochastic mortality
Lee-Carter model
business cycle
JEL: 
G22
G23
G28
G32
E32
J11
Document Type: 
Working Paper

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