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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/12979


    Title: Model Risks of Surplus Management Under a Stochastic Process
    Authors: 王儷玲;黃瑞卿
    Wang, Jennifer L.Wang,;Huang, Rachel J.
    Keywords: asset and liability management;immunization strategy;interest rate risk;model risk
    Date: 2003
    Issue Date: 2008-12-08 11:06:49 (UTC+8)
    Abstract: This paper uses simulations to explore the effects of incorrectly identifying the underlying interest rate process on assets, liabilities, and surplus levels. We show that mismodeling the interest rate (called model risk) could not only lead to a misstatement of the company's surplus, but could also cause a mismatch between the company's assets and liabilities. Our simulations demonstrate that three aspects of interest rates affect model risk: (i) volatility, (ii) level of long-term interest rate, and (iii) the speed at which the drift rate adjusts. We conclude that asset-liability managers should not ignore the impact of the model risks, regardless of the length of their planning horizon.
    Relation: Journal of Actuarial Practice,10,155-174
    Data Type: article
    Appears in Collections:[Department of Risk Management and Insurance] Periodical Articles

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