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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/12979

Please use this identifier to cite or link to this item: https://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:	[風險管理與保險學系] 期刊論文

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