Reserve-dependent surrender rates

DOI10.1007/S13385-015-0111-XMaRDI QIDQ903674zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ordinary differential equationoptimal stoppingpenalty methodSolvency IIbehavioural option

Mathematics Subject Classification ID

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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