From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital

DOI10.1016/J.EJOR.2011.04.038zbMath1218.91086OpenAlexW2022142223MaRDI QIDQ2275826

Stéphane Loisel, Xavier Milhaud

Publication date: 10 August 2011

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.04.038

zbMATH Keywords

life insurancerisk managementapplied probabilitycorrelation risksurrender risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (12)

Modeling surrender risk in life insurance: theoretical and experimental insight ⋮ Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors ⋮ Partial splitting of longevity and financial risks: the longevity nominal choosing swaptions ⋮ Fourier based methods for the management of complex life insurance products ⋮ Forecasting Surrender Rates Using Elliptical Copulas and Financial Variables ⋮ Evaluating the Technical Provisions for Traditional Brazilian Annuity Plans: Continuous-Time Stochastic Approach Based on Solvency Principles ⋮ Markov chain modeling of policyholder behavior in life insurance and pension ⋮ EXOGENOUS AND ENDOGENOUS RISK FACTORS MANAGEMENT TO PREDICT SURRENDER BEHAVIOURS ⋮ Estimation of the parameters of a Markov-modulated loss process in insurance ⋮ Variable annuities in a Lévy-based hybrid model with surrender risk ⋮ APPLYING ECONOMIC MEASURES TO LAPSE RISK MANAGEMENT WITH MACHINE LEARNING APPROACHES ⋮ Competition among non-life insurers under solvency constraints: a game-theoretic approach

Cites Work

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• 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
• The s-convex orders among real random variables, with applications
• Comparing sums of exchangeable Bernoulli random variables
• Inequalities: theory of majorization and its applications
• Randomized algorithms for robust controller synthesis using statistical learning theory

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