Stochastic mortality, macroeconomic risks, and life insurer solvency

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 649 Discussion Paper ; No. 2009,015

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Insurance; Insurance Companies; Actuarial Studies ; Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors ; Financial Institutions and Services: Government Policy and Regulation ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill ; Business Fluctuations; Cycles ; Demographic Trends, Macroeconomic Effects, and Forecasts
• Thema: Life insurance ; asset-liability management ; stochastic mortality ; Lee-Carter model ; business cycle ; Lebensversicherung ; Betriebliche Liquidität ; Konkurs ; Konjunktur ; Sterblichkeit ; Stochastischer Prozess ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Hanewald, Katja ; Post, Thomas ; Gründl, Helmut
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (wo): Berlin
• (wann): 2009

Weitere Informationen

• Handle: http://hdl.handle.net/10419/25331
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ