Showing 1 - 10 of 53
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....
Persistent link: https://www.econbiz.de/10010984338
Using data for six OECD countries, this paper studies the effect of macroeconomic conditions on the mortality index kt in the well-known Lee-Carter model. Significant correlations are found with real GDP growth rates in Australia, Canada, and the United States, and with unemployment rate changes...
Persistent link: https://www.econbiz.de/10005207931
This paper analyzes an individual's post retirement longevity risk management strategy allowing for systematic longevity risk, recent product innovations, and product loadings. A complete-markets discrete state model and multi-period simulations of portfolio strategies are used to assess...
Persistent link: https://www.econbiz.de/10010551687
This paper provides a detailed quantitative assessment of the impact of solvency capital requirements on product pricing and shareholder value for a life insurer. A multi-period firm value maximization model for a life annuity provider, allowing for stochastic mortality and asset returns,...
Persistent link: https://www.econbiz.de/10010551690
The recent international credit crisis has highlighted the significant exposure that banks and insurers, especially mono-line credit insurers, have to residential house price risk. This paper provides an assessment of risk models for residential property for applications in banking and insurance...
Persistent link: https://www.econbiz.de/10010551699
Theoretical studies suggest that unexpected changes in future survival probabilities, that is, longevity risk, are important determinants of individuals' decision making about consumption, saving, allocation of assets, and retirement timing. Based on a data set that matches subjective survival...
Persistent link: https://www.econbiz.de/10010551704
We exploit the natural experiment of the 2005 income tax reform in Germany to study the effects of tax incentives on consumer behaviour in life insurance markets. Our empirical analysis of sociodemographic, economic and psychological household characteristics elicited in the German SAVE study...
Persistent link: https://www.econbiz.de/10009393914
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....
Persistent link: https://www.econbiz.de/10009188334
We provide evidence of individuals’ awareness of longevity risk (the uncertainty about future survival probabilities) based on subjective survival expectations elicited in the Survey of Health, Ageing and Retirement in Europe (SHARE) and matching data on longevity risk from the Human Mortality...
Persistent link: https://www.econbiz.de/10010688113
Persistent link: https://www.econbiz.de/10010696780