KJCKorea
Journal Central

@article{ART001715390},
author={YONGJAE KWON and Yun， Jeongsun and Lee Jaimin},
title={A Study on the Effects of Economic Variables on Lapse Rates of Variable Annuity and Variable Universal Life Insurance},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2012},
volume={23},
number={4},
pages={3-28}

TY - JOUR
AU - YONGJAE KWON
AU - Yun， Jeongsun
AU - Lee Jaimin
TI - A Study on the Effects of Economic Variables on Lapse Rates of Variable Annuity and Variable Universal Life Insurance
JO - Journal of Insurance and Finance
PY - 2012
VL - 23
IS - 4
PB - Korea Insurance Research Institute
SP - 3
EP - 28
SN - 2384-3209
AB - Using cointegration technique and vector error correction model, we analyze how lapses of variable annuity(VA) and variable universal life insurance(VULI) respond to shocks to economic variables as well as each of themselves. Business leading indicator, CD rate, consumer price index(CPI), and unemployment rate are chosen as economic variables. We find that variable annuity and variable universal life insurance both showed negative responses to a shock from business leading indicator and CPI while they showed positive responses to a shock from themselves and unemployment rate. Variable annuity shows positive response to a shock from CD rate while variable universal life insurance does not. Variable universal life insurance show positive response to a shock from KOSPI while variable annuity does not. This is because lower levels of restrictions on fund selection are given to VULI when policyholders invest in equity funds or mixed funds.
KW - cointegration;impulse response function;lapse;variable annuity;variable universal life insurance;vector error correction model
DO -
UR -
ER -

YONGJAE KWON, Yun， Jeongsun and Lee Jaimin. (2012). A Study on the Effects of Economic Variables on Lapse Rates of Variable Annuity and Variable Universal Life Insurance. Journal of Insurance and Finance, 23(4), 3-28.

YONGJAE KWON, Yun， Jeongsun and Lee Jaimin. 2012, "A Study on the Effects of Economic Variables on Lapse Rates of Variable Annuity and Variable Universal Life Insurance", Journal of Insurance and Finance, vol.23, no.4 pp.3-28.

YONGJAE KWON, Yun， Jeongsun, Lee Jaimin "A Study on the Effects of Economic Variables on Lapse Rates of Variable Annuity and Variable Universal Life Insurance" Journal of Insurance and Finance 23.4 pp.3-28 (2012) : 3.

YONGJAE KWON, Yun， Jeongsun, Lee Jaimin. A Study on the Effects of Economic Variables on Lapse Rates of Variable Annuity and Variable Universal Life Insurance. 2012; 23(4), 3-28.

YONGJAE KWON, Yun， Jeongsun and Lee Jaimin. "A Study on the Effects of Economic Variables on Lapse Rates of Variable Annuity and Variable Universal Life Insurance" Journal of Insurance and Finance 23, no.4 (2012) : 3-28.

YONGJAE KWON; Yun， Jeongsun; Lee Jaimin. A Study on the Effects of Economic Variables on Lapse Rates of Variable Annuity and Variable Universal Life Insurance. Journal of Insurance and Finance, 23(4), 3-28.

YONGJAE KWON; Yun， Jeongsun; Lee Jaimin. A Study on the Effects of Economic Variables on Lapse Rates of Variable Annuity and Variable Universal Life Insurance. Journal of Insurance and Finance. 2012; 23(4) 3-28.

YONGJAE KWON, Yun， Jeongsun, Lee Jaimin. A Study on the Effects of Economic Variables on Lapse Rates of Variable Annuity and Variable Universal Life Insurance. 2012; 23(4), 3-28.

YONGJAE KWON, Yun， Jeongsun and Lee Jaimin. "A Study on the Effects of Economic Variables on Lapse Rates of Variable Annuity and Variable Universal Life Insurance" Journal of Insurance and Finance 23, no.4 (2012) : 3-28.