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政大典藏 > College of Commerce > Department of Risk Management and Insurance > Periodical Articles > Item 140.119/12779

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/12779

Title:	The Impacts of Surrender Options on Reserve Durations
Authors:	蔡政憲 Tsai,Cheng-Hsien
Date:	2012-09
Issue Date:	2008-12-05 12:50:21 (UTC+8)
Abstract:	Estimating the interest rate risk of life insurance reserves is essential for insurers, and surrender options are critical to the estimation. This article advances our understanding of how surrender options affect the durations of reserves. We identify a pattern of the reserve duration with respect to the interest rate that is important in explaining how surrender rate levels and the interest-rate sensitivity of surrenders affect reserve durations. We further found that the surrender behavior that is more positively related to the interest rate produces larger/smaller effective dollar durations when the interest rate is low/high.
Relation:	Risk Management and Insurance Review, 15(2), 165-184
Data Type:	article
DOI link:	http://dx.doi.org/10.1111/j.1540-6296.2012.01216.x
DOI:	10.1111/j.1540-6296.2012.01216.x
Appears in Collections:	[Department of Risk Management and Insurance] Periodical Articles

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