| dc.creator (作者) | 王儷玲;黃瑞卿 | zh_TW |
| dc.creator (作者) | Wang, Jennifer L.Wang, ; Huang, Rachel J. | - |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 8-Dec-2008 11:06:49 (UTC+8) | - |
| dc.date.available | 8-Dec-2008 11:06:49 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2008 11:06:49 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/12979 | - |
| dc.description.abstract (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. | - |
| dc.format | application/ | en_US |
| dc.language | en | en_US |
| dc.language | en-US | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journal of Actuarial Practice,10,155-174 | en_US |
| dc.subject (關鍵詞) | asset and liability management;immunization strategy;interest rate risk;model risk | - |
| dc.title (題名) | Model Risks of Surplus Management Under a Stochastic Process | en_US |
| dc.type (資料類型) | article | en |
