Intensity-based framework for surrender modeling in life insurance

DOI10.1016/J.INSMATHECO.2016.11.001MaRDI QIDQ506089zbMATH OpenOpenAlexFDO

Authors Vincenzo Russo, Rosella Giacometti, Frank J. Fabozzi

Publication date 31 January 2017

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2016.11.001

zbMATH Keywords

life insurancesurrender optionVasicek modelbest estimate of liabilities (BEL)Cox-Ingersoll-Ross (CIR) modelintensity-based models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A binomial model for valuing equity-linked policies embedding surrender options
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Calibrating affine stochastic mortality models using term assurance premiums
• Endogenous model of surrender conditions in equity-linked life insurance
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Fair valuation of path-dependent participating life insurance contracts.
• Interest rate models -- theory and practice. With smile, inflation and credit
• Lapse rate modeling: a rational expectation approach
• Modeling surrender and lapse rates with economic variables
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(15)

• The determinants of lapse rates in the Italian life insurance market
• Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
• Modeling surrender risk in life insurance: theoretical and experimental insight
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
• Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
• Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
• Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method
• Generalized Frasier Claim Rates Under Survivorship Life Insurance Policies
• Fourier based methods for the management of complex life insurance products
• Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
• A Two-Part Beta Regression Approach for Modeling Surrenders and Withdrawals in a Life Insurance Portfolio
• Prepayment risk in reverse mortgages: an intensity-governed surrender model
• A sensitivity analysis of typical life insurance contracts with respect to the technical basis
• A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling
• Exogenous and endogenous risk factors management to predict surrender behaviours

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