Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we develop a dynamic asset-liability model to assess the impact of macroeconomic fluctuations on the solvency of a life insurance company....

Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we develop a dynamic asset-liability model to assess the impact of macroeconomic fluctuations on the solvency of a life insurance company....

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...

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...

Theoretical studies suggest that unexpected changes in future survival probabilities (longevity risk) are important determinants of individuals' decisions about consumption, saving, asset allocation, and retirement timing. This study provides empirical evidence that individuals are indeed aware...

We provide evidence of individuals' awareness of longevity risk (the uncertainty about future survival probabilities) based on subjective survival expectations elicited in the Survey of Health, Ageing and Retirement in Europe (SHARE) and matching data on longevity risk from the Human Mortality...