Reserve-dependent surrender rates
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Recommendations
- IBNR reserves under stochastic interest rates
- Determinants of excess reserve holdings
- Interest on reserves, policy rules and quantitative easing
- Monetary policy with interest on reserves
- Net premium reserve of stochastic interest
- Reserve volatility and the identification of exchange rate regimes
- Liquidity and interest rates
- über die erzeugung von stornoverteilungen
- Banks, money, and the zero lower bound on deposit rates
Cites work
- scientific article; zbMATH DE number 5151672 (Why is no real title available?)
- scientific article; zbMATH DE number 3607222 (Why is no real title available?)
- Cash flows and policyholder behaviour in the semi-Markov life insurance setup
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Intervention options in life insurance
- Introductory lectures on fluctuations of Lévy processes with applications.
- Lapse rate modeling: a rational expectation approach
- Markov chain modeling of policyholder behavior in life insurance and pension
- Quadratic convergence for valuing American options using a penalty method
- Reserve-dependent benefits and costs in life and health insurance contracts
Cited in
(11)- Early surrender and the distribution of policy reserves
- Intervention options in life insurance
- Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
- Reserves and cash flows under stochastic retirement
- The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
- On surrender and default risks
- Reserve-dependent benefits and costs in life and health insurance contracts
- Lapse rate modeling: a rational expectation approach
- Intensity-based framework for surrender modeling in life insurance
- A joint valuation of premium payment and surrender options in participating life insurance contracts
- Markov chain modeling of policyholder behavior in life insurance and pension
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