Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
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Publication:2374124
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Cites work
- scientific article; zbMATH DE number 3901778 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1055921 (Why is no real title available?)
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- A bivariate shot noise self-exciting process for insurance
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- A dynamic contagion process
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- From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital
- Interest rate models -- theory and practice. With smile, inflation and credit
- Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts
- LIBOR and swap market models and measures
- Maximum likelihood estimation of Hawkes' self-exciting point processes
- Modeling surrender and lapse rates with economic variables
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- ON THE CONVOLUTION OF INVERSE GAUSSIAN AND EXPONENTIAL RANDOM VARIABLES
- Power spectra of general shot noises and Hawkes point processes with a random excitation
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
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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
- Bayesian modeling of shock lapse rates provides new evidence for emergency fund hypothesis
- Life insurance lapse behavior
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