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@article{ART002471383},
author={OUH, CHANGSU and Sangwook Song},
title={A Study for Stochastic Lapse Model Under IFRS 17},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2019},
volume={30},
number={2},
pages={117-145},
doi={10.23842/jif.2019.30.2.004}

TY - JOUR
AU - OUH, CHANGSU
AU - Sangwook Song
TI - A Study for Stochastic Lapse Model Under IFRS 17
JO - Journal of Insurance and Finance
PY - 2019
VL - 30
IS - 2
PB - Korea Insurance Research Institute
SP - 117
EP - 145
SN - 2384-3209
AB - The needs for calculating more precise lapse risk are increasing as lapse risk will be newly applied in risk adjustments and risk categories when IFRS 17 and K-ICS (Korean Insurance Capital Standard) will be introduced. This study researches a stochastic lapse model which can be used in computing precise lapse risk in IFRS 17 and K-ICS. We defines continuation function and force of lapse, and we derives a stochastic lapse model which can be composed by a stochastic term following Ornstein-Uhlenbeck process and a trend term presenting lapse term structure. This study derives three lapse models according to constant, dynamic, and stepwise standard deviations. The models can reflect term structure of lapse. This study generates 1,000 stochastic lapse scenarios for 240 months using force of lapse by simple method.
KW - Stochastic lapse model;lapse risk;risk adjustment;IFRS 17;K-ICS
DO - 10.23842/jif.2019.30.2.004
ER -

OUH, CHANGSU and Sangwook Song. (2019). A Study for Stochastic Lapse Model Under IFRS 17. Journal of Insurance and Finance, 30(2), 117-145.

OUH, CHANGSU and Sangwook Song. 2019, "A Study for Stochastic Lapse Model Under IFRS 17", Journal of Insurance and Finance, vol.30, no.2 pp.117-145. Available from: doi:10.23842/jif.2019.30.2.004

OUH, CHANGSU, Sangwook Song "A Study for Stochastic Lapse Model Under IFRS 17" Journal of Insurance and Finance 30.2 pp.117-145 (2019) : 117.

OUH, CHANGSU, Sangwook Song. A Study for Stochastic Lapse Model Under IFRS 17. 2019; 30(2), 117-145. Available from: doi:10.23842/jif.2019.30.2.004

OUH, CHANGSU and Sangwook Song. "A Study for Stochastic Lapse Model Under IFRS 17" Journal of Insurance and Finance 30, no.2 (2019) : 117-145.doi: 10.23842/jif.2019.30.2.004

OUH, CHANGSU; Sangwook Song. A Study for Stochastic Lapse Model Under IFRS 17. Journal of Insurance and Finance, 30(2), 117-145. doi: 10.23842/jif.2019.30.2.004

OUH, CHANGSU; Sangwook Song. A Study for Stochastic Lapse Model Under IFRS 17. Journal of Insurance and Finance. 2019; 30(2) 117-145. doi: 10.23842/jif.2019.30.2.004

OUH, CHANGSU, Sangwook Song. A Study for Stochastic Lapse Model Under IFRS 17. 2019; 30(2), 117-145. Available from: doi:10.23842/jif.2019.30.2.004

OUH, CHANGSU and Sangwook Song. "A Study for Stochastic Lapse Model Under IFRS 17" Journal of Insurance and Finance 30, no.2 (2019) : 117-145.doi: 10.23842/jif.2019.30.2.004