Identifying the determinants of lapse rates in life insurance: an automated Lasso approach

DOI10.1007/s13385-022-00325-1OpenAlexW4308709534MaRDI QIDQ6201517

Andreas Reuß, Lucas Reck, Johannes Schupp

Publication date: 21 February 2024

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-022-00325-1

zbMATH Keywords

life insuranceLassofused Lassotrend filteringlapse rate

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Cites Work

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• Sparsity and Smoothness Via the Fused Lasso
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• APPLYING ECONOMIC MEASURES TO LAPSE RISK MANAGEMENT WITH MACHINE LEARNING APPROACHES

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