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...

In comparing an immediate life annuity with a payout-equivalent investment fundpayout plan (self-annuitization), research to date has focused mainly on shortfallprobabilities of self-annuitization. As an exception, Schmeiser and Post (2005)propose a family strategy where the chances of...

Motivated by a recent demographic study establishing a link betweenmacroeconomic fluctuations and the mortality index kt in the Lee-Cartermodel, we assess the impact of macroeconomic fluctuations on the solvencyof a life insurance company. Liabilities in our stochastic simulationframework are...

The Liikanen Group proposes contingent convertible (CoCo) bonds as instruments to enhance financial stability in the banking industry. Especially life insurance companies could serve as CoCo bond holders as they are already the largest purchasers of bank bonds in Europe. The growing number of...

Low interest rates are becoming a threat to the stability of the life insurance industry, especially in countries such as Germany, where products with relatively high guaranteed returns sold in the past still represent a prominent share of the total portfolio. This contribution aims to assess...