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Surrender Rate Impacts on Asset Liability Management

Author Info

Listed author(s):
  • Kim Changki

    (University of Texas at Austin)

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    Abstract

    We try to model surrender rates with a few explanatory variables such as the difference between reference new money rates and product crediting rates with surrender charges, the policy age since the contract was issued, unemployment rates, economy growth rates, and seasonal effects. In modeling surrender rates we use the logit function. We calculate the value of interest indexed annuities and investigate the surrender rate impacts on the value, the duration, and the convexity of interest indexed annuities.

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    Article provided by De Gruyter in its journal Asia-Pacific Journal of Risk and Insurance.

    Volume (Year): 1 (2005)
    Issue (Month): 1 (June)
    Pages: 1-36

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    Handle: RePEc:bpj:apjrin:v:1:y:2005:i:1:n:5
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