Reserve-dependent surrender rates
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Publication:903674
DOI10.1007/S13385-015-0111-XzbMATH Open1329.91077OpenAlexW1733049163MaRDI QIDQ903674FDOQ903674
Authors: Kamille Sofie Tågholt Gad, Jeppe Juhl, Mogens Steffensen 
Publication date: 15 January 2016
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-015-0111-x
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Cites Work
- Introductory lectures on fluctuations of Lévy processes with applications.
- Quadratic convergence for valuing American options using a penalty method
- Title not available (Why is that?)
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Markov chain modeling of policyholder behavior in life insurance and pension
- Reserve-dependent benefits and costs in life and health insurance contracts
- Title not available (Why is that?)
- Intervention options in life insurance
- Lapse rate modeling: a rational expectation approach
- Cash flows and policyholder behaviour in the semi-Markov life insurance setup
Cited In (11)
- Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
- Reserve-dependent benefits and costs in life and health insurance contracts
- Lapse rate modeling: a rational expectation approach
- Markov chain modeling of policyholder behavior in life insurance and pension
- Reserves and cash flows under stochastic retirement
- The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
- A joint valuation of premium payment and surrender options in participating life insurance contracts
- Intervention options in life insurance
- Intensity-based framework for surrender modeling in life insurance
- Early surrender and the distribution of policy reserves
- On surrender and default risks
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