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http://dx.doi.org/10.5351/KJAS.2010.23.4.635

Policyholder Surrender Behaviors under Extreme Financial Conditions  

Kim, Chang-Ki (Australian School of Business, The University of New South Wales)
Publication Information
The Korean Journal of Applied Statistics / v.23, no.4, 2010 , pp. 635-650 More about this Journal
Abstract
We model surrender rates with a few explanatory variables such as the difference between reference marke rates and product crediting rates, the policy age since the contract was issued, unemployment rates, economy growth rates, and seasonal effects using logit function. We investigate the policy holder surrender behaviors of US single premium deferred annuities(SPDA) and Korean interest indexed annuities under extreme financial conditions.
Keywords
Surrender/Lapse rate model; extreme financial conditions; surrender rate changes;
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