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The Distributions of Policy Reserves Considering the Policy-Year Structures of Surrender Rates and Expense Ratios

机译:考虑退保率和费用比率的政策年份结构的政策准备金分配

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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.
机译:在本文中,我们研究了费用比率和退保率的政策年度结构如何影响政策准备金的分配。我们的结果表明,凸出的费用比率曲线虽然减少了准备金的均值和不确定性,但可能使投降者对保险公司的有利影响变得有害。我们的结果还表明,退保率曲线的凸度对保险公司有利,而退保率的波动性则不利。我们还发现,忽视政策年的退保率和费用比率结构可能导致对储备金的均值和不确定性的高估。

著录项

  • 来源
    《The journal of risk and insurance》 |2009年第4期|909-931|共23页
  • 作者单位

    Department of Risk Management and Insurance, National Chengchi University;

    Department of International Business, National Chengchi University;

    Department of Money and Banking, National Chengchi University;

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  • 原文格式 PDF
  • 正文语种 eng
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