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Early surrender and the distribution of policy reserves

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  • Tsai, Chenghsien
  • Kuo, Weiyu
  • Chen, Wei-Kuang
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-479KDCD-1/2/ed2da1b004258410aa3890c3203f7c9c
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 31 (2002)
    Issue (Month): 3 (December)
    Pages: 429-445

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    Handle: RePEc:eee:insuma:v:31:y:2002:i:3:p:429-445

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    2. Outreville, J. Francois, 1990. "Whole-life insurance lapse rates and the emergency fund hypothesis," Insurance: Mathematics and Economics, Elsevier, vol. 9(4), pages 249-255, December.
    3. Marceau, Etienne & Gaillardetz, Patrice, 1999. "On life insurance reserves in a stochastic mortality and interest rates environment," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 261-280, December.
    4. Beekman, John A. & Fuelling, Clinton P., 1990. "Interest and mortality randomness in some annuities," Insurance: Mathematics and Economics, Elsevier, vol. 9(2-3), pages 185-196, September.
    5. Grosen, Anders & Lochte Jorgensen, Peter, 2000. "Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 37-57, February.
    6. David F. Babbel & Anthony M. Santomero, 1997. "Risk Management by Insurers: An Analysis of the Process," Center for Financial Institutions Working Papers 96-16, Wharton School Center for Financial Institutions, University of Pennsylvania.
    7. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
    8. De Schepper, A. & Goovaerts, M., 1992. "Some further results on annuities certain with random interest," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 283-290, December.
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    Cited by:
    1. Xavier Milhaud & Marie-Pierre Gonon & Stéphane Loisel, 2010. "Les comportements de rachat en Assurance Vie en régime de croisière et en période de crise," Post-Print hal-00502851, HAL.

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