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2009-03-17Diskussionspapier DOI: 10.18452/4180
Stochastic Mortality, Macroeconomic Risks, and Life Insurer Solvency
dc.contributor.authorHanewald, Katja
dc.contributor.authorPost, Thomas
dc.contributor.authorGründl, Helmut
dc.date.accessioned2017-06-15T23:53:22Z
dc.date.available2017-06-15T23:53:22Z
dc.date.created2009-04-23
dc.date.issued2009-03-17
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4832
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 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectbusiness cycleeng
dc.subjectLife insuranceeng
dc.subjectasset-liability managementeng
dc.subjectstochastic mortalityeng
dc.subjectLee-Carter modeleng
dc.subject.ddc330 Wirtschaft
dc.titleStochastic Mortality, Macroeconomic Risks, and Life Insurer Solvency
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-10097458
dc.identifier.doihttp://dx.doi.org/10.18452/4180
local.edoc.pages24
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2009
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2009,15

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