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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/61701


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    题名: The Distributions of Policy Reserves Considering the Policy-Year Structures of Surrender Rates and Expense Ratios
    作者: 蔡政憲;郭維裕;江彌修
    Tsai, Chenghsien;Kuo, Weiyu;Chiang, Derek Mi-Hsiu
    贡献者: 金融系
    日期: 2009.09
    上传时间: 2013-11-19 17:46:54 (UTC+8)
    摘要: In this article, we examine how the policy-year structures of expense ratios and surrender rates affect the distributions of policy reserves. Our results show that a convex expense ratio curve, though reduces the mean and the uncertainty of reserves, could make the beneficial impact of surrenders on insurers become detrimental. Our results also show that the convexity of the surrender rate curve is favorable to insurers while the volatilities of surrender rates are unfavorable. We further find that neglecting the policy-year structures of surrender rates and expense ratios may result in overestimation of the mean and the uncertainty of reserves.
    關聯: Journal of Risk and Insurance, 76(4),909-931
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1111/j.1539-6975.2009.01324.x
    DOI: 10.1111/j.1539-6975.2009.01324.x
    显示于类别:[金融學系] 期刊論文

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