Lapse rate modeling: a rational expectation approach
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Recommendations
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Cites work
- A theory of the term structure of interest rates
- 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
- Finite difference methods in financial engineering. A partial differential approach. With CD-ROM
- scientific article; zbMATH DE number 3333735 (Why is no real title available?)
- Intervention options in life insurance
- Modeling surrender and lapse rates with economic variables
- On accounting standards and fair valuation of life insurance and pension liabilities
- Penalty methods for American options with stochastic volatility
- Two-factor convertible bonds valuation using the method of characteristics/finite elements
Cited in
(20)- An application of sigmoid and double-sigmoid functions for dynamic policyholder behaviour
- Surrender contagion in life insurance
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- Life insurance policy termination and survivorship
- The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
- Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
- Reserves and cash flows under stochastic retirement
- Cash flows and policyholder behaviour in the semi-Markov life insurance setup
- scientific article; zbMATH DE number 4119456 (Why is no real title available?)
- Markov chain modeling of policyholder behavior in life insurance and pension
- Intensity-based framework for surrender modeling in life insurance
- Forecasting surrender rates using elliptical copulas and financial variables
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- Bayesian modeling of shock lapse rates provides new evidence for emergency fund hypothesis
- Evaluating the technical provisions for traditional Brazilian annuity plans: continuous-time stochastic approach based on solvency principles
- SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK
- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
- Optimal surrender policy for variable annuity guarantees
- Dependent interest and transition rates in life insurance
- Reserve-dependent surrender rates
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