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    题名: Early Surrender and the Distribution of Policy Reserves
    作者: 郭維裕;蔡政憲;陳威光
    Tsai, Chenghsien;Kuo, Weiyu;Chen, Wei-Kuang
    贡献者: 風險管理與保險學系
    关键词: Cointegration analysis;Early surrender;Lapse rate;Policy reserves
    日期: 2002-12
    上传时间: 2009-05-23 01:22:48 (UTC+8)
    摘要: 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.
    關聯: Insurance: Mathematics and Economics, 31,429-445
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1016/S0167-6687(02)00188-9
    DOI: 10.1016/S0167-6687(02)00188-9
    显示于类别:[風險管理與保險學系 ] 期刊論文

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