Surrender contagion in life insurance
From MaRDI portal
Publication:2103054
DOI10.1016/j.ejor.2022.07.009OpenAlexW4285679628MaRDI QIDQ2103054
Chunli Cheng, Christian Hilpert, Aidin Miri Lavasani, Mick Schaefer
Publication date: 12 December 2022
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2022.07.009
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- GitHub
- Approximate dynamic programming for the dispatch of military medical evacuation assets
- Mutual excitation in Eurozone sovereign CDS
- A joint valuation of premium payment and surrender options in participating life insurance contracts
- Insurance with multiple insurers: a game-theoretic approach
- Early default risk and surrender risk: impacts on participating life insurance policies
- Testing for self-excitation in jumps
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Household lifetime strategies under a self-contagious market
- Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
- Optimal robust insurance with a finite uncertainty set
- Self-exciting hurdle models for terrorist activity
- Endogenous model of surrender conditions in equity-linked life insurance
- The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees
- Regression-based algorithms for life insurance contracts with surrender guarantees
- Risk Analysis of Collateralized Debt Obligations
- Lapse rate modeling: a rational expectation approach
- A dynamic contagion process
- Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
- Efficient Simulation of Clustering Jumps with CIR Intensity
- ON SURRENDER AND DEFAULT RISKS
- Life insurance surrender and liquidity risks
- Queues Driven by Hawkes Processes
- Spectra of some self-exciting and mutually exciting point processes
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
This page was built for publication: Surrender contagion in life insurance