| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w30187 |
| 来源ID | Working 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 |
| URL | https://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 | ||
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