G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w30187
来源IDWorking Paper 30187
Aggregate Lapsation Risk
Ralph S. J. Koijen; Hae Kang Lee; Stijn Van Nieuwerburgh
发表日期2022-06-27
出版年2022
语种英语
摘要We study aggregate lapsation risk in the life insurance sector. We construct two lapsation risk factors that explain a large fraction of the common variation in lapse rates of the 30 largest life insurance companies. The first is a cyclical factor that is positively correlated with credit spreads and unemployment, while the second factor is a trend factor that correlates with the level of interest rates. Using a novel policy-level database from a large life insurer, we examine the heterogeneity in risk factor exposures based on policy and policyholder characteristics. Young policyholders with higher health risk in low-income areas are more likely to lapse their policies during economic downturns. We explore the implications for hedging and valuation of life insurance contracts. Ignoring aggregate lapsation risk results in mispricing of life insurance policies. The calibrated model points to overpricing on average. In the cross-section, young, low-income, and high-health risk households face higher effective mark-ups than the old, high-income, and healthy.
主题Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions
URLhttps://www.nber.org/papers/w30187
来源智库National Bureau of Economic Research (United States)
引用统计
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/587860
推荐引用方式
GB/T 7714
Ralph S. J. Koijen,Hae Kang Lee,Stijn Van Nieuwerburgh. Aggregate Lapsation Risk. 2022.
条目包含的文件
文件名称/大小 资源类型 版本类型 开放类型 使用许可
w30187.pdf(500KB)智库出版物 限制开放CC BY-NC-SA浏览
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Ralph S. J. Koijen]的文章
[Hae Kang Lee]的文章
[Stijn Van Nieuwerburgh]的文章
百度学术
百度学术中相似的文章
[Ralph S. J. Koijen]的文章
[Hae Kang Lee]的文章
[Stijn Van Nieuwerburgh]的文章
必应学术
必应学术中相似的文章
[Ralph S. J. Koijen]的文章
[Hae Kang Lee]的文章
[Stijn Van Nieuwerburgh]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w30187.pdf
格式: Adobe PDF
此文件暂不支持浏览

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。