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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/25331
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| Title: | | Stochastic mortality, macroeconomic risks, and life insurer solvency  |
| Authors: | | Hanewald, Katja Post, Thomas Gründl, Helmut |
| Issue Date: | | 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 |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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