Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/64134
Authors: 
Hanewald, Katja
Post, Thomas
Gründl, Helmut
Year of Publication: 
2011
Series/Report no.: 
ICIR Working Paper Series 01/11
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.
Document Type: 
Working Paper

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