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dc.contributor.authorHanewald, Katjaen_US
dc.contributor.authorPost, Thomasen_US
dc.contributor.authorGründl, Helmuten_US
dc.date.accessioned2012-09-21en_US
dc.date.accessioned2012-09-21T12:33:40Z-
dc.date.available2012-09-21T12:33:40Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/64134-
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.language.isoengen_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.ddc330en_US
dc.subject.stwLebensversicherungen_US
dc.subject.stwBetriebliche Liquiditäten_US
dc.subject.stwInsolvenzen_US
dc.subject.stwKonjunkturen_US
dc.subject.stwSterblichkeiten_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwTheorieen_US
dc.titleStochastic mortality, macroeconomic risks, and life insurer solvencyen_US
dc.typeWorking Paperen_US
dc.identifier.ppn719841216en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:icirwp:0111-
Appears in Collections:ICIR Working Paper Series, International Center for Insurance Regulation, Universität Frankfurt

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