Valuing Surrender Options in Korean Interest Indexed Annuities
Additional contact information
Kim Changki: University of New South Wales, Australia
Asia-Pacific Journal of Risk and Insurance, 2009, vol. 3, issue 2, pages 1-22
We present surrender rate models with explanatory variables such as the difference between reference rates and crediting rates, policy age since issue, unemployment rates, and economy growth rates, using a logit model. We calculate the values of the surrender options in Korean interest-indexed annuities. It is interesting to note that the values of the surrender options subject to a surrender charge show negative values despite the fact that the surrender options are the right given to policyholders. We then attempt to find the fair surrender charges for the insurance company and its policyholders.
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://www.degruyter.com/view/j/apjri.2009.3.2/apj ... .1039.xml?format=INT (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:bpj:apjrin:v:3:y:2009:i:2:n:4
Ordering information: This journal article can be ordered from
Access Statistics for this article
Asia-Pacific Journal of Risk and Insurance is currently edited by Michael R. Powers
More articles in Asia-Pacific Journal of Risk and Insurance from De Gruyter
Series data maintained by Peter Golla ().