Markov chain modeling of policyholder behavior in life insurance and pension

DOI10.1007/S13385-014-0091-2MaRDI QIDQ487613zbMATH OpenOpenAlexFDO

Authors Lars Frederik Brandt Henriksen, Jeppe Woetmann Nielsen, Mogens Steffensen, Christian Svensson

Publication date 22 January 2015

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13385-014-0091-2

zbMATH Keywords

dependenceordinary differential equationrecoverysurrender optionfree policy option

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28)

Recommendations

• Reserve-dependent surrender rates
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Cites work

• A no arbitrage approach to Thiele's differential equation
• Bivariate analysis of survivorship and persistency
• Cash flows and policyholder behaviour in the semi-Markov life insurance setup
• Early surrender and the distribution of policy reserves
• Exogenous and endogenous risk factors management to predict surrender behaviours
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Fair valuation of participating policies with surrender options and regime switching
• From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital
• Intervention options in life insurance
• Lapse rate modeling: a rational expectation approach
• Modeling surrender and lapse rates with economic variables

Cited in

(17)

• LIFE INSURANCE AND PENSION CONTRACTS I: THE TIME ADDITIVE LIFE CYCLE MODEL
• Scenario-based life insurance prognoses in a multi-state Markov model
• An application of sigmoid and double-sigmoid functions for dynamic policyholder behaviour
• COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE
• Cash flows and policyholder behaviour in the semi-Markov life insurance setup
• On the Sensitivity of Premiums and Reserves to Changes in Valuation Elements
• Scaled insurance cash flows: representation and computation via change of measure techniques
• Nonlinear reserving and multiple contract modifications in life insurance
• Surrender in single and double decrement Markov chain life insurance models
• Reserve-dependent surrender rates
• Reserves and cash flows under stochastic retirement
• Policyholder exercise behavior in life insurance: the state of affairs
• Optimal investment-disinvestment choices in health-dependent variable annuity
• The joint impact of fertility and unemployment on the level of state-aided pensions
• Extension of as-if-Markov modeling to scaled payments
• Dependent interest and transition rates in life insurance
• Aggregate Markov models in life insurance: properties and valuation

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