In this paper a VAR model is employed to construct a measure of the conditional expectations of the future yen/dollar spot rate. This measure allows us to examine the dynamics of an ex-ante time-series for the risk premium in the market. The VAR model produces 'better' forecasts than the survey responses for turbulent periods such as 1981-1982 and 1984-1985. The VAR-generated expectations are t...

www.scor.com/SGLA Every day hundreds of term life policyholders receive 60-day notices of rate changes because their level premium guarantee is coming to an end. And the premium jumps can be jaw dropping – often 5 to 10 times the rate paid during the level period. In response, most policyholders lapse their contract when the level premium period ends or within a few months thereafter – the shoc...