EXOGENOUS AND ENDOGENOUS RISK FACTORS MANAGEMENT TO PREDICT SURRENDER BEHAVIOURS

DOI10.1017/ASB.2013.2zbMath1282.91161OpenAlexW2146094770MaRDI QIDQ5398356

Xavier Milhaud

Publication date: 27 February 2014

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2013.2

zbMATH Keywords

life insurancerisk managementmixture modelssurrender risk

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (5)

Lapse tables for lapse risk management in insurance: a competing risk approach ⋮ Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors ⋮ The determinants of lapse rates in the Italian life insurance market ⋮ Markov chain modeling of policyholder behavior in life insurance and pension ⋮ APPLYING ECONOMIC MEASURES TO LAPSE RISK MANAGEMENT WITH MACHINE LEARNING APPROACHES

Cites Work

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• Fair valuation of participating policies with surrender options and regime switching
• Estimating the dimension of a model
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• Finite mixture and Markov switching models.
• Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
• Endogenous model of surrender conditions in equity-linked life insurance
• Modeling Surrender and Lapse Rates With Economic Variables
• Finite mixture models
• Random forests

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