An application of sigmoid and double-sigmoid functions for dynamic policyholder behaviour (Q2044797)

In the context of risk-based valuation of insurance contracts, the paper provides an extension of the dynamic lapse rate models, proposed in the literature and by regulators, using a double-sigmoid curve. The model is based on an economic assumption, in accordance with the description of policyholder behavior currently well established in the insurance industries. The study introduces a deepening of dynamic lapse multipliers, with regard to the dynamic model used in empirical studies or suggested by regulators. Then, the essential aspects and properties of the double- linear and double-sigmoid functions are provided. Finally, an application of the proposed methodology is presented, considering a real insurer database from an Italian firm.