Related papers: Lapse-supported life insurance and adverse selecti…
This paper focuses on modelling surrender time for policyholders in the context of life insurance. In this setup, a large lapse rate at the first months of a contract is often observed, with a decrease in this rate after some months. The…
Modeling policyholders lapse behaviors is important to a life insurer since lapses affect pricing, reserving, profitability, liquidity, risk management, as well as the solvency of the insurer. Lapse risk is indeed the most significant life…
A retention strategy based on an enlightened lapse model is a powerful profitabilitylever for a life insurer. Some machine learning models are excellent at predicting lapse,but from the insurer's perspective, predicting which policyholder…
Surrender poses one of the major risks to life insurance and a sound modeling of its true probability has direct implication on the risk capital demanded by the Solvency II directive. We add to the existing literature by performing…
We adapt Leland's dynamic capital structure model to the context of an insurance company selling participating life insurance contracts explaining the existence of life insurance contracts which provide both a guaranteed payment and surplus…
This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbalance; then we develop a theoretical stochastic control…
Dependence among multiple lifetimes is a key factor for pricing and evaluating the risk of joint life insurance products. The dependence structure can be exposed to model uncertainty when available data and information are limited. We…
Due to the presence of reporting and settlement delay, claim data sets collected by non-life insurance companies are typically incomplete, facing right censored claim count and claim severity observations. Current practice in non-life…
We consider the problem of how an individual can use term life insurance to maximize the probability of reaching a given bequest goal, an important problem in financial planning. We assume that the individual buys instantaneous term life…
This paper studies a life-cycle optimal portfolio-consumption problem when the consumption performance is measured by a shortfall aversion preference with an additional drawdown constraint on consumption rate. Meanwhile, the agent also…
Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…
Life insurance, like other forms of insurance, relies heavily on large volumes of data. The business model is based on an exchange where companies receive payments in return for the promise to provide coverage in case of an accident. Thus,…
In this paper, we consider a risk process with deterministic growth and multiplicative jumps to model the capital of a low-income household. Reflecting the high-risk nature of the low-income environment, capital losses are assumed to be…
We revisit surplus on general life insurance contracts, represented by Markov models. We classify technical bases in terms of boundary conditions in Thiele's equation(s), allowing more general regulations than Scandinavian-style…
In cancer epidemiology using population-based data, regression models for the excess mortality hazard is a useful method to estimate cancer survival and to describe the association between prognosis factors and excess mortality. This method…
We develop a pricing rule for life insurance under stochastic mortality in an incomplete market by assuming that the insurance company requires compensation for its risk in the form of a pre-specified instantaneous Sharpe ratio. Our…
We introduce a collective model for life insurance where the heterogeneity of each insured, including the health state, is modeled by a diffusion process. This model is influenced by concepts in statistical mechanics. Using the proposed…
The inverse probability weighting approach is popular for evaluating treatment effects in observational studies, but extreme propensity scores could bias the estimator and induce excessive variance. Recently, the overlap weighting approach…
In this paper, we investigate a complex variation of the standard joint life annuity policy by introducing three distinct contingent benefits for the surviving member(s) of a couple, along with a contingent benefit for their beneficiaries…
We determine the optimal amount of life insurance for a household of two wage earners. We consider the simple case of exponential utility, thereby removing wealth as a factor in buying life insurance, while retaining the relationship among…