rate risk shock increases by 63 percent and the contribution of interest rate risk shocks to business cycle volatility more …Jesús Fernández-Villaverde, Pablo A. Guerrón-Quintana, Juan F. Rubio-Ramírez and Martín Uribe (2011) find that risk … corrected. Recalibrating the corrected model for the benchmark case of Argentina, the peak response of output after an interest …

This paper investigates the effects of a rise in interest rate and lapse risk of endowment life insurance policies on … rates are modeled stochastically and depend on the granted guaranteed rate of return and prevailing level of interest rates …. Our results suggest that in the case of a sharp increase in interest rates, policyholders sharply increase lapses and the …

risk, interest rate risk and longevity risk. We adopt the principle of maximum entropy in risk-neutralisation of these … three risk components simultaneously. Our numerical results based on Australian data suggest that a reverse mortgage would …