Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index … on the solvency of a life insurance company. Liabilities in this stochastic simulation framework are driven by a GDP …-linked variant of the Lee-Carter mortality model. Furthermore, interest rates and stock prices react to changes in GDP, which itself …

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