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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:
http://hdl.handle.net/10419/64134
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Hanewald, Katja | | en_US |
| dc.contributor.author | | Post, Thomas | | en_US |
| dc.contributor.author | | Gründl, Helmut | | en_US |
| dc.date.accessioned | | 2012-09-21 | | en_US |
| dc.date.accessioned | | 2012-09-21T12:33:40Z | | - |
| dc.date.available | | 2012-09-21T12:33:40Z | | - |
| dc.date.issued | | 2011 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/64134 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | International Center for Insurance Regulation, House of Finance, Goethe University Frankfurt am Main | | en_US |
| dc.relation.ispartofseries | | ICIR Working Paper Series 01/11 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.stw | | Lebensversicherung | | en_US |
| dc.subject.stw | | Betriebliche Liquidität | | en_US |
| dc.subject.stw | | Insolvenz | | en_US |
| dc.subject.stw | | Konjunktur | | en_US |
| dc.subject.stw | | Sterblichkeit | | en_US |
| dc.subject.stw | | Stochastischer Prozess | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Stochastic mortality, macroeconomic risks, and life insurer solvency | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 719841216 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:icirwp:0111 | | - |
| Appears in Collections: | | ICIR Working Paper Series, International Center for Insurance Regulation, Universität Frankfurt
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