Resource title

Stochastic mortality, macroeconomic risks, and life insurer solvency

Resource image

image for OpenScout resource :: Stochastic mortality, macroeconomic risks, and life insurer solvency

Resource description

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.

Resource author

Katja Hanewald, Thomas Post, Helmut Gr√ľndl

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25331

Resource license

Adapt according to the presented license agreement and reference the original author.