본문 바로가기
  • Home

Examining the Long-Run Relationship Between Macroeconomic Variables and the Lapse Rates of Whole Life Insurance

  • Journal of Insurance and Finance
  • 2019, 30(1), pp.3-38
  • DOI : 10.23842/jif.2019.30.1.001
  • Publisher : Korea Insurance Research Institute
  • Research Area : Social Science > Business Management
  • Received : September 4, 2018
  • Accepted : February 14, 2019
  • Published : February 28, 2019

Jintae Hwang 1 Daigyo Seo 2

1대구대학교
2건국대학교

Accredited

ABSTRACT

Using Markov switching models as well as a standard cointegration equation, we examine the long-run relationship between the lapse rate of whole life insurance and macroeconomics variables-interest rate, unemployment, business, and inflation. Focusing on the three-regime switching model used in this paper, we find that the lapse rate of whole life insurance has a negative long-run relationship with business, whereas it has a positive long-run relationship with inflation, consistent with the predictions of the emergency fund and inflation hypotheses. However, the interest rate hypothesis is not supported by the estimation result that the lapse rate has a moderate negative long-run relationship with the interest rate.

Citation status

* References for papers published after 2022 are currently being built.