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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/12376


    Title: Early Surrender and the Distribution of Policy Reserves
    Authors: 郭維裕;蔡政憲;陳威光
    Tsai, Chenghsien;Kuo, Weiyu;Chen, Wei-Kuang
    Keywords: Cointegration analysis;Early surrender;Lapse rate;Policy reserves
    Date: 2002-12
    Issue Date: 2008-12-03 13:46:00 (UTC+8)
    Abstract: We extend the literature by incorporating early surrender into the distribution estimation for policy reserves. First, we employ the cointegrated vector autoregression technique to estimate an empirical relation between the lapse rate and interest rate. The tests indicate a significant cointegrated vector that implies a long-term relation between the lapse rate and interest rate. Based on the estimated error-correction model, we then simulate the policy reserve distribution with stochastic mortality, interest rate, and early surrender. We find that early surrender reduces the expected value as well as the risk for policy reserves due to surrenders in the low interest rate periods. Further analyses indicate that the early surrender effect depends on the sign and magnitude of the difference between the market interest rate and policy credit rate. When the credit rate is higher (lower) than the market interest rate, early surrender acts to decrease (increase) the mean reserve. This effect increases with the magnitude in the difference.
    Relation: Insurance: Mathematics and Economics, 31, 429-445
    Data Type: article
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

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