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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/7486


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    題名: On the distribution of life insurance reserves in a stochastic mortality interest rate and surrender rate enviroment
    其他題名: 隨機死亡，利率，與解約率下人壽保險準備金之機率分配
    作者: 蔡政憲;詹志清;陳威光
    關鍵詞: Early Surrender;Life Insurance Reserves;Interest Rate Risk;Parameter Estimation risk
    提前解約;壽險準備金;利率風險;參數估計風險
    日期: 2003-07
    上傳時間: 2008-11-14 12:34:04 (UTC+8)
    摘要: The risk management of reserves is critical to the solvency of a life insurance company. The literature has shown that the right to surrender the life insurance policy for the cash value could be an important determinant to the risk of reserves. In this paper, we use simulation to incorporate the risk of early surrender into the estimation for the reserve distribution. We find that the mortality risk is immaterial. Stochastic interest rates as well as uncertain parameters in the interest rate model significantly increase the mean and the risk of reserves. On the other hand, early surrender reduces the expected value and the risk of reserves due to the surrender charge and the surrenders happened in the low interest rate era. Early surrender therefore could benefit the life insurance company.
    關聯: 證券市場發展季刊, 15(2), 1-30
    資料類型: article
    顯示於類別:[金融學系] 期刊論文

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