Hanewald, Katja; Post, Thomas; Gründl, Helmut - In: The Geneva Papers on Risk and Insurance - Issues and … 36 (2011) 3, pp. 458-475
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....