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    題名: Model Risks of Surplus Management Under a Stochastic Process
    作者: 王儷玲;黃瑞卿
    Wang, Jennifer L.Wang,;Huang, Rachel J.
    關鍵詞: asset and liability management;immunization strategy;interest rate risk;model risk
    日期: 2003
    上傳時間: 2008-12-08 11:06:49 (UTC+8)
    摘要: This paper uses simulations to explore the effects of incorrectly identifying the underlying interest rate process on assets, liabilities, and surplus levels. We show that mismodeling the interest rate (called model risk) could not only lead to a misstatement of the company`s surplus, but could also cause a mismatch between the company`s assets and liabilities. Our simulations demonstrate that three aspects of interest rates affect model risk: (i) volatility, (ii) level of long-term interest rate, and (iii) the speed at which the drift rate adjusts. We conclude that asset-liability managers should not ignore the impact of the model risks, regardless of the length of their planning horizon.
    關聯: Journal of Actuarial Practice,10,155-174
    資料類型: article
    顯示於類別:[風險管理與保險學系] 期刊論文

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