Intensity-based framework for surrender modeling in life insurance

DOI10.1016/j.insmatheco.2016.11.001zbMath1394.91230OpenAlexW2550542292MaRDI QIDQ506089

Vincenzo Russo, Frank J. Fabozzi, Rosella Giacometti

Publication date: 31 January 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.11.001

zbMATH Keywords

life insuranceVasicek modelsurrender optionbest estimate of liabilities (BEL)Cox-Ingersoll-Ross (CIR) modelintensity-based models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites Work

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