Showing 1 - 9 of 9
This article provides a comprehensive econometric analysis of factors driving aggregate mortality rates over time. It differs from previous studies in this field by simultaneously considering an extensive set of macroeconomic, socio-economic and ecological factors as explanatory variables....
Persistent link: https://www.econbiz.de/10010265667
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/10010265670
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/10010265671
We propose a new model in a Bayesian hierarchical framework to project mortality at both national and subnational levels based on sparse or missing data. The new model, which has a country-region-province structure, uses common factors to pool information at the national level and within regions...
Persistent link: https://www.econbiz.de/10013200865
We exploit the natural experiment of the 2005 income tax reform in Germany to study the effects of tax incentives on consumer behavior 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/10010281497
Theoretical studies suggest that unexpected changes in future mortality and survival probabilities (stochastic mortality) are important determinants of individuals' decisions about consumption, saving, asset allocation, and retirement timing. Using data on subjective survival expectations...
Persistent link: https://www.econbiz.de/10010281598
The design and development of post-retirement income products require the assessment of longevity risk, as well as a basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort-based value index for life insurers and pension funds to manage...
Persistent link: https://www.econbiz.de/10011996569
This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap for a life annuity portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, provide more effective...
Persistent link: https://www.econbiz.de/10013200421
Stochastic mortality models have been developed for a range of applications from demographic projections to financial management. Financial risk based models built on methods used for interest rates and apply these to mortality rates. They have the advantage of being applied to financial pricing...
Persistent link: https://www.econbiz.de/10013200479