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http://dx.doi.org/10.5351/CKSS.2009.16.1.085

Decrement Models with an Application to Variable Annuities under Fractional Age Distributions  

Lee, Hang-Suck (Dept. of Actuarial Science/Mathematics, Sungkyunkwan Univ.)
Publication Information
Communications for Statistical Applications and Methods / v.16, no.1, 2009 , pp. 85-102 More about this Journal
Abstract
This paper derives conversion formulas from yearly-based absolute rates of decrements to monthly-based rates of decrement due to cause J under fractional age distributions. Next, it suggests conversion formulas from monthly-based absolute rates of decrements to monthly-based rates of decrement due to cause j under fractional age distributions. In addition, it applies the conversion formulas including a dynamic lapse rate model to variable annuities. Some numerical examples are discussed.
Keywords
Absolute rates of decrements; rates of decrement due to cause j; fractional age distributions; variable annuities; dynamic lapse rate;
Citations & Related Records
Times Cited By KSCI : 2  (Citation Analysis)
연도 인용수 순위
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