• Title/Summary/Keyword: 이차익비율

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Profit analysis of life insurance products with interest rate options (이자율 보증옵션이 내재된 생명보험의 이차익 분석)

  • Lee, Hangsuck
    • Journal of the Korean Data and Information Science Society
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    • v.24 no.4
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    • pp.737-753
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    • 2013
  • 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.