Intensity-based framework for surrender modeling in life insurance
From MaRDI portal
Publication:506089
DOI10.1016/j.insmatheco.2016.11.001zbMath1394.91230OpenAlexW2550542292MaRDI QIDQ506089
Vincenzo Russo, Frank J. Fabozzi, Rosella Giacometti
Publication date: 31 January 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.11.001
life insuranceVasicek modelsurrender optionbest estimate of liabilities (BEL)Cox-Ingersoll-Ross (CIR) modelintensity-based models
Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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