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    題名: The Impacts of Surrender Options on Reserve Durations
    作者: 蔡政憲
    Tsai,Cheng-Hsien
    日期: 2012-09
    上傳時間: 2008-12-05 12:50:21 (UTC+8)
    摘要: 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.
    關聯: Risk Management and Insurance Review, 15(2), 165-184
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1111/j.1540-6296.2012.01216.x
    DOI: 10.1111/j.1540-6296.2012.01216.x
    顯示於類別:[風險管理與保險學系] 期刊論文

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