政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/29027

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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 140.119/29027

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/29027

Title:	Early Surrender and the Distribution of Policy Reserves
Authors:	郭維裕;蔡政憲;陳威光 Tsai, Chenghsien;Kuo, Weiyu;Chen, Wei-Kuang
Contributors:	風險管理與保險學系
Keywords:	Cointegration analysis;Early surrender;Lapse rate;Policy reserves
Date:	2002-12
Issue Date:	2009-05-23 01:22:48 (UTC+8)
Abstract:	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.
Relation:	Insurance: Mathematics and Economics, 31,429-445
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/S0167-6687(02)00188-9
DOI:	10.1016/S0167-6687(02)00188-9
Appears in Collections:	[風險管理與保險學系] 期刊論文

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