Reserve-dependent surrender rates

DOI10.1007/s13385-015-0111-xzbMath1329.91077OpenAlexW1733049163MaRDI QIDQ903674

Kamille Sofie Tågholt Gad, Jeppe Juhl, Mogens Steffensen

Publication date: 15 January 2016

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

Full work available at URL: https://doi.org/10.1007/s13385-015-0111-x

zbMATH Keywords

optimal stoppingordinary differential equationpenalty methodSolvency IIbehavioural option

Mathematics Subject Classification ID

Related Items (1)

Reserves and cash flows under stochastic retirement

Cites Work

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• Quadratic Convergence for Valuing American Options Using a Penalty Method
• Lapse rate modeling: a rational expectation approach
• Cash flows and policyholder behaviour in the semi-Markov life insurance setup

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