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| Title | The Distributions of Policy Reserves Considering the Policy-Year Structures of Surrender Rates and Expense Ratios |
| Creator | 蔡政憲;郭維裕;江彌修 Tsai, Chenghsien ; Kuo, Weiyu ; Chiang, Derek Mi-Hsiu |
| Contributor | 金融系 |
| Date | 2009.09 |
| Date Issued | 19-Nov-2013 17:46:54 (UTC+8) |
| Summary | 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. |
| Relation | Journal of Risk and Insurance, 76(4),909-931 |
| Type | article |
| DOI | http://dx.doi.org/10.1111/j.1539-6975.2009.01324.x |
| dc.contributor | 金融系 | en_US |
| dc.creator (作者) | 蔡政憲;郭維裕;江彌修 | zh_TW |
| dc.creator (作者) | Tsai, Chenghsien ; Kuo, Weiyu ; Chiang, Derek Mi-Hsiu | en_US |
| dc.date (日期) | 2009.09 | en_US |
| dc.date.accessioned | 19-Nov-2013 17:46:54 (UTC+8) | - |
| dc.date.available | 19-Nov-2013 17:46:54 (UTC+8) | - |
| dc.date.issued (上傳時間) | 19-Nov-2013 17:46:54 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/61701 | - |
| dc.description.abstract (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. | - |
| dc.format.extent | 169144 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journal of Risk and Insurance, 76(4),909-931 | en_US |
| dc.title (題名) | The Distributions of Policy Reserves Considering the Policy-Year Structures of Surrender Rates and Expense Ratios | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1111/j.1539-6975.2009.01324.x | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1111/j.1539-6975.2009.01324.x | en_US |