Forecasting Surrender Rates Using Elliptical Copulas and Financial Variables

DOI10.1080/10920277.2014.888315zbMath1414.91223OpenAlexW2156742813MaRDI QIDQ5379122

Eduardo Melo, Cristiano Fernandes, César Neves

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2014.888315

zbMATH Keywords

life insurancemultistage stochastic modelsurrender rates forecasting

Mathematics Subject Classification ID

Related Items (1)

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Cites Work

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• Early surrender and the distribution of policy reserves
• From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital
• Three-stage semi-parametric estimation of \(t\)-copulas: asymptotics, finite-sample properties and computational aspects
• Modeling Surrender and Lapse Rates With Economic Variables
• Lapse rate modeling: a rational expectation approach
• Copulas: A Review and Recent Developments
• Generalized Linear Models for Insurance Data

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