EconStor >
Goethe-Universität Frankfurt am Main >
International Center for Insurance Regulation (ICIR), Universität Frankfurt a. M. >
ICIR Working Paper Series, International Center for Insurance Regulation, Universität Frankfurt >

Please use this identifier to cite or link to this item:

Full metadata record

DC FieldValueLanguage
dc.contributor.authorHanewald, Katjaen_US
dc.contributor.authorPost, Thomasen_US
dc.contributor.authorGründl, Helmuten_US
dc.description.abstractMotivated 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.en_US
dc.publisherInternational Center for Insurance Regulation, House of Finance, Goethe University Frankfurt am Mainen_US
dc.relation.ispartofseriesICIR Working Paper Series 01/11en_US
dc.subject.stwBetriebliche Liquiditäten_US
dc.subject.stwStochastischer Prozessen_US
dc.titleStochastic mortality, macroeconomic risks, and life insurer solvencyen_US
dc.typeWorking Paperen_US
Appears in Collections:ICIR Working Paper Series, International Center for Insurance Regulation, Universität Frankfurt

Files in This Item:
File Description SizeFormat
719841216.pdf345.06 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.