• Journal of the Korean Data and Information Science Society
• /
• v.24 no.4
• /
• pp.723-736
• /
• 2013

The importance of lapse rate is highly increasing due to the introduction of Cash Flow Pricing system, non-refund-of-reserve insurance policy, and IFRS (International Financial Reporting System) to the Korean insurance market. Researches on lapse rate have mainly focused on simple data analysis and regression analysis, etc. However, lapse rate can be analyzed by survival analysis and can be well explained in terms of several covariates with Cox proportional hazard model. Guaranteed minimum benefits embedded in variable annuities require more elegant statistical analysis of lapse rate. Hence, this paper analyzes data of policyholders with variable annuities by using Cox proportional hazard model. The key variables of policy holder that influences the lapse rate are payment method, premium, lapse insured to term insured, reserve-GMXB ratio, and age.

• Communications for Statistical Applications and Methods
• /
• v.16 no.1
• /
• pp.85-102
• /
• 2009

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.

• The Journal of the Korea Contents Association
• /
• v.20 no.11
• /
• pp.281-291
• /
• 2020

This study used Gauss-Poisson jump diffusion process on standard assets to estimate the statutory reserves of Variable Annuity (VA) guarantees specified in Korean bylaw of insurance supervision and calculated guarantee fees and risks based on the model to see the effect of considering the jumps. Financial assets, except KOSPI 200, have fat-tailed return distributions, which is an indirect evidence of discontinuous jumps. In the case of a domestic stock index and foreign stock indexes(Korean Won), guarantee fees and risks decrease when jumps are considered in models of underlying assets. This is explained by decreases in standard deviations after the jump diffusion is considered. On the other hand, in the case of domestic bond indexes and a foreign bond index(Korean Won), guarantee fees and risks tend to increase when jumps are considered. Results from a foreign stock index(US Dollar) and a foreign bond index(US Dollar) were opposite to those from the same kinds of Korean Won indexes. We conclude that VA guarantee fees and risks may be under or over estimated when jumps are not considered in models of underlying assets.