Early surrender and the distribution of policy reserves

DOI10.1016/S0167-6687(02)00188-9zbMath1031.62092MaRDI QIDQ1413373

Chenghsien Tsai, Weiyu Kuo, Wei-Kuang Chen

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

Cointegration analysisEarly surrenderLapse ratePolicy reserves

Mathematics Subject Classification ID

Related Items (6)

Forecasting Surrender Rates Using Elliptical Copulas and Financial Variables ⋮ Evaluating the Technical Provisions for Traditional Brazilian Annuity Plans: Continuous-Time Stochastic Approach Based on Solvency Principles ⋮ Markov chain modeling of policyholder behavior in life insurance and pension ⋮ EXOGENOUS AND ENDOGENOUS RISK FACTORS MANAGEMENT TO PREDICT SURRENDER BEHAVIOURS ⋮ Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions ⋮ Life insurance policy termination and survivorship

Cites Work

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• Moments of the present value of a portfolio of policies
• Stochastic analysis of a portfolio of endowment insurance policies
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Stochastic Analysis of the Interaction Between Investment and Insurance Risks
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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