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http://dx.doi.org/10.7465/jkdi.2013.24.4.737

Profit analysis of life insurance products with interest rate options  

Lee, Hangsuck (Department of Actuarial Science/Mathematics, Sungkyunkwan University)
Publication Information
Journal of the Korean Data and Information Science Society / v.24, no.4, 2013 , pp. 737-753 More about this Journal
Abstract
Interest rate options embedded in life insurance products provide policyholders with minimum guaranteed rates credited to the corresponding surrender values. This paper discusses current low-interest environment and several types of interest rate options embedded in life insurance products. In addition, this paper shows profit structures of the life insurance products and calculates values of the interest rate options under stochastic interest model and the corresponding VaR (value at risk). Finally, some implications are discussed.
Keywords
Interest profit ratio; interest rate option; risk; surrender value;
Citations & Related Records
Times Cited By KSCI : 3  (Citation Analysis)
연도 인용수 순위
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