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Surrender Rate Impacts on Asset Liability Management

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  • Kim Changki

    (University of Texas at Austin)

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.

Suggested Citation

  • Kim Changki, 2005. "Surrender Rate Impacts on Asset Liability Management," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(1), pages 1-36, June.
  • Handle: RePEc:bpj:apjrin:v:1:y:2005:i:1:n:5
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    References listed on IDEAS

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