| I present surrender rate models with explanatory variables such as the difference between reference rates and crediting rates, policy age since issue, financial crises, unemployment rates, economy growth rates, and seasonal effects. I use the logit function and the complementary log-log function in modeling surrender rates.; I show that the logit model and the complementary log-log model are generally better than the existing surrender rate models such as arctangent model. I also show that the surrender rate models are different according to insurance policy types and find proper surrender rate models for the four insurance groups: protection plans, education plans, endowment, and annuities.; With the logit surrender rate model, I calculate the value of interest indexed annuities, and the value of the surrender options in interest indexed annuities. I also investigate the surrender rate impacts on the value, the duration, and the convexity of interest indexed annuities. |
