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International Center for Insurance Regulation (ICIR), Universität Frankfurt a. M. >
ICIR Working Paper Series, International Center for Insurance Regulation, Universität Frankfurt >
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http://hdl.handle.net/10419/64134
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| Title: | | Stochastic mortality, macroeconomic risks, and life insurer solvency  |
| Authors: | | Hanewald, Katja Post, Thomas Gründl, Helmut |
| Issue Date: | | 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 |
| Appears in Collections: | | ICIR Working Paper Series, International Center for Insurance Regulation, Universität Frankfurt
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