Description: This is the abstract for the research on securitization of motor insurance loss.

Description: At the request of the Society of Actuaries’ Risk Management Task Force, an analysis was performed on fixed annuity data consisting of sources from Korea and a single U.S. company. The purpose of the study was to explore lapse experience in the tails and see if this required a special model with special parameters. Parameters suitable for the Logit Surrender Rate Model were developed covering not only tail experience but also under “normal” conditions. Parameters were also developed and are linked to variables such as interest spread, duration, unemployment rates, economy growth rates and seasonal effects. The methods used may be applied to any company’s experience. For the data tested, the Logit Model closely fit the experience of the data even under extreme financial conditions.