Hanewald, Katja; Post, Thomas; Gründl, Helmut - 2009
Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index … company. Liabilities in our stochastic simulation framework are driven by a GDP-linked variant of the Lee-Carter mortality … stochastic process. Our results show that insolvency probabilities are significantly higher when the reaction of mortality rates …