• Bulletin of the Korean Mathematical Society
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• v.58 no.2
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• pp.349-364
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• 2021

This paper studies the optimal surrender policies for a variable annuity (VA) contract with a surrender option and a fixed insurance fee for guaranteed minimum maturity benefits (GMMB). In our proposed model, a policyholder pays the fixed insurance fee. Based on the integral transform techniques, we derive the analytic integral equations for the optimal surrender boundary and the value function of the VA contract that can be solved numerically by recursive integration method. We provide numerical values for the value function, the optimal surrender boundary, and the expected optimal surrender time.

• Communications for Statistical Applications and Methods
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• v.28 no.5
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• pp.447-462
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• 2021

In insurance, the surrender rate is an important variable that threatens the sustainability of insurers and determines the profitability of the contract. Unlike other actuarial assumptions that determine the cash flow of an insurance contract, however, it is characterized by endogenous variables such as people's economic, social, and subjective decisions. Therefore, a microscopic approach is required to identify and analyze the factors that determine the lapse rate. Specifically, micro-level characteristics including the individual, demographic, microeconomic, and household characteristics of policyholders are necessary for the analysis. In this study, we select panel survey data of Korean Retirement Income Study (KReIS) with many diverse dimensions to determine which variables have a decisive effect on the lapse and apply the lasso regularized regression model to analyze it empirically. As the data contain many missing values, they are imputed using the random forest method. Among the household variables, we find that the non-existence of old dependents, the existence of young dependents, and employed family members increase the surrender rate. Among the individual variables, divorce, non-urban residential areas, apartment type of housing, non-ownership of homes, and bad relationship with siblings increase the lapse rate. Finally, among the financial variables, low income, low expenditure, the existence of children that incur child care expenditure, not expecting to bequest from spouse, not holding public health insurance, and expecting to benefit from a retirement pension increase the lapse rate. Some of these findings are consistent with those in the literature.

• Communications for Statistical Applications and Methods
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• v.27 no.6
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• pp.689-699
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• 2020

This study investigates the effect of life settlement on the monopolistic insurance market. In particular, we consider liquidity cost, which is the cost incurred to the insurer to meet the request of surrender, and trading cost, which is the transaction cost of the policyholders for the settlement. We first show that the introduction of a life settlement can increase insurance demand and enhance consumer welfare even when the trading cost is higher than the liquidity cost. That is, even if the settlement market is less efficient than the insurance market, both insurance demand and consumer welfare can be increased. Second, the insurer's profit can also be increased when settlement is introduced because not only can the insurer save the liquidity cost but also the demand of insurance increases. Lastly, insurance demand does not always decrease when both costs increase. Depending on the population distribution over the liquidity risk, the demand of insurance can be increased or decreased.

• Journal of the Korean Data and Information Science Society
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• v.24 no.4
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• pp.737-753
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• 2013

Interest rate options embedded in life insurance products provide policyholders with minimum guaranteed rates credited to the corresponding surrender values. This paper discusses current low-interest environment and several types of interest rate options embedded in life insurance products. In addition, this paper shows profit structures of the life insurance products and calculates values of the interest rate options under stochastic interest model and the corresponding VaR (value at risk). Finally, some implications are discussed.

• Journal of National Security and Military Science
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• s.7
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• pp.1-24
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• 2009

This article deals with military thought in general. First I tried to distinguish 'thought' from 'theory', 'philosophy', and 'principle'. Thought means the act of thinking about or considering something, an idea or opinion, or a set of ideas about a particular subject, e.g. military affairs in the present discussion. Theory means a formal statement of the rules on which a subject of study is based or of ideas which are suggested to explain a fact or event or, more generally, an opinion or explanation. Philosophy means the use of reason in understanding such things as the nature of reality and existence, the use and limits of knowledge. Principle means a basic idea or rule that explains or controls how something happens or works. Chapter 3 summarized the characteristics of military thoughts into five points', (i) it is closely related with concrete experiences of a nation; (ii) it includes philosophical and logical arguments; (iii) it relies heavily on the political thought of a nation; (iv) it includes necessarily value-judgments; (v) it contains visions of a nation which are not only descriptions or explanations of military affairs, but also evaluations and advocacies. Chapter 4 considers the relation of international political thoughts to military thought. Throughout the history of the modem states system there have been three competing traditions of thought: the Hobbesian or realist tradition, which views international politics as a state of war; the Kantian or universalist tradition, which sees at work in international politics a potential community of mankind; and the Grotian or internationalist tradition, which views international politics as taking place within an international society. Chapter 5 considers the law of war, which is a body of law concerning acceptable justifications to engage in war (jus ad bellum) and the limits to acceptable wartime conduct (jus in bello). Among other issues, modem laws of war address declarations of war, acceptance of surrender and the treatment of prisoners of war, military necessity along with distinction and proportionality, and the prohibition of certain weapons that may cause unnecessary suffering.