Intensity-based framework for surrender modeling in life insurance
DOI10.1016/J.INSMATHECO.2016.11.001zbMATH Open1394.91230OpenAlexW2550542292MaRDI QIDQ506089FDOQ506089
Frank J. Fabozzi, Rosella Giacometti, Vincenzo Russo
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
life insurancesurrender optionVasicek modelbest estimate of liabilities (BEL)Cox-Ingersoll-Ross (CIR) modelintensity-based models
Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
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- Interest rate models -- theory and practice. With smile, inflation and credit
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- Modeling Surrender and Lapse Rates With Economic Variables
- Lapse rate modeling: a rational expectation approach
- Calibrating affine stochastic mortality models using term assurance premiums
- Endogenous model of surrender conditions in equity-linked life insurance
Cited In (13)
- The determinants of lapse rates in the Italian life insurance market
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method
- Generalized Frasier Claim Rates Under Survivorship Life Insurance Policies
- Fourier based methods for the management of complex life insurance products
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- A Two-Part Beta Regression Approach for Modeling Surrenders and Withdrawals in a Life Insurance Portfolio
- Prepayment risk in reverse mortgages: an intensity-governed surrender model
- A sensitivity analysis of typical life insurance contracts with respect to the technical basis
- A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling
- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
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