Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index …-linked variant of the Lee-Carter mortality model. Furthermore, interest rates and stock prices react to changes in GDP, which itself … when the reaction of mortality rates to changes in GDP is incorporated. …

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 …