Lapse rate modeling: a rational expectation approach
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Publication:3077750
DOI10.1080/03461230802550649zbMath1224.91150OpenAlexW2740092427MaRDI QIDQ3077750
Publication date: 22 February 2011
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/32357046/F_2007_03.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
Related Items (18)
Reserves and cash flows under stochastic retirement ⋮ Cash flows and policyholder behaviour in the semi-Markov life insurance setup ⋮ Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk ⋮ Reserve-dependent surrender rates ⋮ Forecasting Surrender Rates Using Elliptical Copulas and Financial Variables ⋮ A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method ⋮ Bayesian Modeling of Shock Lapse Rates Provides New Evidence for Emergency Fund Hypothesis ⋮ 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 ⋮ SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK ⋮ Intensity-based framework for surrender modeling in life insurance ⋮ Life insurance policy termination and survivorship ⋮ Optimal surrender policy for variable annuity guarantees ⋮ Dependent interest and transition rates in life insurance ⋮ Surrender contagion in life insurance ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk ⋮ The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees ⋮ Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
Cites Work
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- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Endogenous model of surrender conditions in equity-linked life insurance
- A Theory of the Term Structure of Interest Rates
- Modeling Surrender and Lapse Rates With Economic Variables
- On accounting standards and fair valuation of life insurance and pension liabilities
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