Modeling Surrender and Lapse Rates With Economic Variables

DOI10.1080/10920277.2005.10596225zbMath1215.91067OpenAlexW2080007115MaRDI QIDQ3010452

Changki Kim

Publication date: 2 July 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2005.10596225

zbMATH Keywords

insurancerateeconomicssurrender

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (18)

Lapse tables for lapse risk management in insurance: a competing risk approach ⋮ Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach ⋮ Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors ⋮ A Two-Part Beta Regression Approach for Modeling Surrenders and Withdrawals in a Life Insurance Portfolio ⋮ The determinants of lapse rates in the Italian life insurance market ⋮ Forecasting Surrender Rates Using Elliptical Copulas and Financial Variables ⋮ Bayesian Modeling of Shock Lapse Rates Provides New Evidence for Emergency Fund Hypothesis ⋮ Logistic Regression for Insured Mortality Experience Studies ⋮ Evaluating the Technical Provisions for Traditional Brazilian Annuity Plans: Continuous-Time Stochastic Approach Based on Solvency Principles ⋮ Markov chain modeling of policyholder behavior in life insurance and pension ⋮ EXOGENOUS AND ENDOGENOUS RISK FACTORS MANAGEMENT TO PREDICT SURRENDER BEHAVIOURS ⋮ Intensity-based framework for surrender modeling in life insurance ⋮ Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models ⋮ Pricing Funeral (Burial) Insurance in a Microinsurance World with Emphasis on Africa ⋮ Life Insurance Lapse Behavior ⋮ An application of sigmoid and double-sigmoid functions for dynamic policyholder behaviour ⋮ Lapse rate modeling: a rational expectation approach ⋮ APPLYING ECONOMIC MEASURES TO LAPSE RISK MANAGEMENT WITH MACHINE LEARNING APPROACHES

Uses Software

• alr3
• rms
• SAS
• SAS/STAT

Cites Work

• Premium allocation and risk avoidance in a large firm: A continuous model
• Generalized Linear Models
• Regression modeling strategies. With applications to linear models, logistic regression and survival analysis
• Unnamed Item
• Unnamed Item

This page was built for publication: Modeling Surrender and Lapse Rates With Economic Variables