Markov chain modeling of policyholder behavior in life insurance and pension
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Publication:487613
DOI10.1007/s13385-014-0091-2zbMath1304.91111OpenAlexW3123703637MaRDI QIDQ487613
Christian Svensson, Mogens Steffensen, Lars Frederik Brandt Henriksen, Jeppe Woetmann Nielsen
Publication date: 22 January 2015
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-014-0091-2
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Related Items (9)
Scaled insurance cash flows: representation and computation via change of measure techniques ⋮ The joint impact of fertility and unemployment on the level of state-aided pensions ⋮ COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE ⋮ Reserves and cash flows under stochastic retirement ⋮ Cash flows and policyholder behaviour in the semi-Markov life insurance setup ⋮ Extension of as-if-Markov modeling to scaled payments ⋮ Reserve-dependent surrender rates ⋮ Aggregate Markov models in life insurance: properties and valuation ⋮ Nonlinear reserving and multiple contract modifications in life insurance
Cites Work
- Fair valuation of participating policies with surrender options and regime switching
- Intervention options in life insurance
- Bivariate analysis of survivorship and persistency
- Early surrender and the distribution of policy reserves
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital
- Modeling Surrender and Lapse Rates With Economic Variables
- Lapse rate modeling: a rational expectation approach
- Cash flows and policyholder behaviour in the semi-Markov life insurance setup
- EXOGENOUS AND ENDOGENOUS RISK FACTORS MANAGEMENT TO PREDICT SURRENDER BEHAVIOURS
- A no arbitrage approach to Thiele's differential equation
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