Since 2014
Value at Risk of Life Insurance Policy Reserves
Journal of Financial Studies
View Archive Info| Field | Value | |
| Title |
Value at Risk of Life Insurance Policy Reserves
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| Creator |
Chenghsien Tsai
Weiyu Kuo Mengyi Li |
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| Description |
We estimate the value at risk (VaR) of life insurance policy reserves in this paper. Since the market price of reserves does not exist, we construct a simulation model considering mortality rate risk, interest rate risk, surrender rate risk, and parameter estimation risks to estimate the VaR. Simulation results show that the VaR from mortality rate risk is small but interest rate risk as well as the parameter estimation risk of interest rate model significantly enlarges the VaR. On the other hand, surrender rate risk reduces reserve VaR. With regard to individual products, annuity and whole life insurance have the largest VaRs, followed by pure endowment and endowment. Term life insurance has the smallest one. Keywords: Value at risk; Policy reserves; Life insurance |
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| Publisher |
Journal of Financial Studies
財務金èžå¸åˆŠ |
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| Date |
2011-06-03
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| Type |
—
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| Format |
application/pdf
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| Identifier |
http://www.jfs.org.tw/index.php/jfs/article/view/2011139
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| Source |
Journal of Financial Studies; Vol 11, No 1 (2003); 41
財務金èžå¸åˆŠ; Vol 11, No 1 (2003); 41 |
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| Language |
—
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