From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital
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Publication:2275826
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Cites work
- Comparing sums of exchangeable Bernoulli random variables
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
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- The s-convex orders among real random variables, with applications
Cited in
(21)- Early surrender and the distribution of policy reserves
- Surrender contagion in life insurance
- Competition among non-life insurers under solvency constraints: a game-theoretic approach
- Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
- Estimation of the parameters of a Markov-modulated loss process in insurance
- Fourier based methods for the management of complex life insurance products
- Modeling surrender and lapse rates with economic variables
- Partial splitting of longevity and financial risks: the longevity nominal choosing swaptions
- Markov chain modeling of policyholder behavior in life insurance and pension
- On surrender and default risks
- Variable annuities in a Lévy-based hybrid model with surrender risk
- Applying economic measures to lapse risk management with machine learning approaches
- Modeling surrender risk in life insurance: theoretical and experimental insight
- A Risk-Centric Model of Demand Recessions and Speculation*
- 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
- Exogenous and endogenous risk factors management to predict surrender behaviours
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- Optimizing portfolios with surrender variable annuities: a deep reinforcement learning approach
- Pricing a guaranteed annuity option under a stochastic correlation setting
- A two-account pricing framework for hybrid variable annuity contract embedded with living and death benefit riders
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