Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors

DOI10.1016/J.INSMATHECO.2016.09.008zbMATH Open1371.91079OpenAlexW2345393996MaRDI QIDQ2374124FDOQ2374124

Authors: Flavia Barsotti, Xavier Milhaud, Yahia Salhi Edit this on Wikidata

Publication date: 14 December 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.09.008

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Hawkes process contagion surrender stress tests dynamic contagion process dynamic policyholders' behavior interest rates dynamic lapse risk

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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ON THE CONVOLUTION OF INVERSE GAUSSIAN AND EXPONENTIAL RANDOM VARIABLES

Cited In (13)

The determinants of lapse rates in the Italian life insurance market
Modeling surrender risk in life insurance: theoretical and experimental insight
Surrender contagion in life insurance
Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
Lapse tables for lapse risk management in insurance: a competing risk approach
Moment generating function of non-Markov self-excited claims processes
Modelling dynamic lapse with survival analysis and machine learning in CPI
Life insurance surrender and liquidity risks
Identifying the determinants of lapse rates in life insurance: an automated Lasso approach
Applying economic measures to lapse risk management with machine learning approaches
On the cost of risk misspecification in insurance pricing
Life insurance lapse behavior
Bayesian modeling of shock lapse rates provides new evidence for emergency fund hypothesis

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