Dynamic Policyholder Behavior and Surrender Option Evaluation for Life Insurance

Fabio Baione (), Davide Biancalana (), Paolo De Angelis () and Ivan Granito ()
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Fabio Baione: Catholic University, Department of Mathematical Sciences, Mathematical Finance and Econometrics
Davide Biancalana: Sapienza University of Rome, Department of Statistical Sciences
Paolo De Angelis: Sapienza University of Rome, Department of Methods and Models for Economics Territory and Finance
Ivan Granito: Sapienza University of Rome, Department of Statistical Sciences

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 81-85 from Springer

Abstract: Abstract Since 2016, Solvency II introduced in the insurance industry sector new capital requirements rules for the evaluation of life insurance liabilities based on VaR risk measure. This paper aims to analyze the effect of the dynamic policyholder behavior on the evaluation of lapse risk of a portfolio of participating life insurance policies.

Keywords: Solvency 2; Policyholder behavior; Life insurance; Surrender option (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_14

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DOI: 10.1007/978-3-319-89824-7_14

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