Markov chain modeling of policyholder behavior in life insurance and pension

DOI10.1007/S13385-014-0091-2zbMATH Open1304.91111OpenAlexW3123703637MaRDI QIDQ487613FDOQ487613

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

Recommendations

• Reserve-dependent surrender rates
• On the Sensitivity of Premiums and Reserves to Changes in Valuation Elements
• Cash flows and policyholder behaviour in the semi-Markov life insurance setup
• Dependent interest and transition rates in life insurance
• A Markov process interest and mortality model

zbMATH Keywords

dependenceordinary differential equationrecoverysurrender optionfree policy option

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (17)

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

This page was built for publication: Markov chain modeling of policyholder behavior in life insurance and pension

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q487613)