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Das Kapitalanlageverhalten der deutschen Lebensversicherungsunternehmen im Wandel der Konjunktur : e. spektralanalytische u. ökonometrische Untersuchung

Lehnhardt-Ritter, Gerda - 1984

Persistent link: https://www.econbiz.de/10000119784

Stochastic mortality, macroeconomic risks, and life insurer solvency

Hanewald, Katja; Post, Thomas; Gründl, Helmut - 2009

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...

Persistent link: https://www.econbiz.de/10003814526

Stochastic mortality, macroeconomic risks and life insurer solvency

Hanewald, Katja; Post, Thomas; Gründl, Helmut - In: The Geneva papers on risk and insurance - issues and … 36 (2011) 3, pp. 458-475

Persistent link: https://www.econbiz.de/10009316249

Stochastic mortality, macroeconomic risks, and life insurer solvency

Hanewald, Katja; Post, Thomas; Gründl, Helmut - 2011

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....