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Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2009,015
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in our stochastic simulation framework are driven by a GDP-linked variant of the Lee-Carter mortality model. Furthermore, interest rates and stock prices are allowed to react to changes in GDP, which itself is modeled as a stochastic process. Our results show that insolvency probabilities are significantly higher when the reaction of mortality rates to changes in GDP is incorporated.
Schlagwörter: 
Life insurance
asset-liability management
stochastic mortality
Lee-Carter model
business cycle
JEL: 
G22
G23
G28
G32
E32
J11
Dokumentart: 
Working Paper

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