Life insurance surrender and liquidity risks

DOI10.1080/14697688.2021.1998586MaRDI QIDQ5079368zbMATH OpenOpenAlexFDO

Authors Hsiaoyin Chang, Hato Schmeiser

Publication date 27 May 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2021.1998586

zbMATH Keywords

endowment life insuranceliquidity riskrisk managementsurrender risk

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Recommendations

• Surrender contagion in life insurance
• Early default risk and surrender risk: impacts on participating life insurance policies
• Valuation of life insurance surrender and exchange options
• Dynamics of solvency risk in life insurance liabilities
• Modeling surrender risk in life insurance: theoretical and experimental insight
• Liquidation risk in insurance under contemporary regulatory frameworks
• scientific article; zbMATH DE number 3000057
• Life insurance policy termination and survivorship
• Life insurance lapse behavior

Cites work

• A full Monte Carlo approach to the valuation of the surrender option embedded in life insurance contracts
• A joint valuation of premium payment and surrender options in participating life insurance contracts
• An Actuarial Analysis of Participating Life Insurance
• An equilibrium characterization of the term structure
• Efficient portfolio valuation incorporating liquidity risk
• Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
• Liquidity risk and arbitrage pricing theory
• Liquidity risk theory and coherent measures of risk
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option

Cited in

(5)

• Surrender contagion in life insurance
• Life insurance policy termination and survivorship
• Mortgage life insurance: a rationale for a time limit in switching rights
• Evaluation of participating endowment life insurance policies in a stochastic environment
• Valuation of life insurance surrender and exchange options

Describes a project that uses

Uses Software

• Human Mortality

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