Markov chain modeling of policyholder behavior in life insurance and pension

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Standard

Markov chain modeling of policyholder behavior in life insurance and pension. / Henriksen, Lars Frederik Brandt; Nielsen, Jeppe Woetmann ; Steffensen, Mogens; Svensson, Christian.

I: European Actuarial Journal, Bind 4, Nr. 1, 2014, s. 1-29.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Henriksen, LFB, Nielsen, JW, Steffensen, M & Svensson, C 2014, 'Markov chain modeling of policyholder behavior in life insurance and pension', European Actuarial Journal, bind 4, nr. 1, s. 1-29. https://doi.org/10.1007/s13385-014-0091-2

APA

Henriksen, L. F. B., Nielsen, J. W., Steffensen, M., & Svensson, C. (2014). Markov chain modeling of policyholder behavior in life insurance and pension. European Actuarial Journal, 4(1), 1-29. https://doi.org/10.1007/s13385-014-0091-2

Vancouver

Henriksen LFB, Nielsen JW, Steffensen M, Svensson C. Markov chain modeling of policyholder behavior in life insurance and pension. European Actuarial Journal. 2014;4(1):1-29. https://doi.org/10.1007/s13385-014-0091-2

Author

Henriksen, Lars Frederik Brandt ; Nielsen, Jeppe Woetmann ; Steffensen, Mogens ; Svensson, Christian. / Markov chain modeling of policyholder behavior in life insurance and pension. I: European Actuarial Journal. 2014 ; Bind 4, Nr. 1. s. 1-29.

Bibtex

@article{efa5857f612a42449f5729805914d6bb,
title = "Markov chain modeling of policyholder behavior in life insurance and pension",
abstract = "We calculate reserves regarding expected policyholder behavior. The behavior is modeled to occur incidentally similarly to insurance risk. The focus is on multi-state modelling of insurance risk and behavioral risk in terms of free policy risk and surrender risk. We discuss valuation techniques in the cases where behavior is modeled to occur independently or dependently of insurance risk, respectively. Ordinary differential equations make it easier to work with dependence between insurance risk and behavior risk. We analyze the effects of the underlying behavioral assumptions for two contracts. For a “new” contract with low technical interest rate relative to the market interest rate, we obtain the lowest reserve by counting in dependence. For an “old” contract with high technical interest rate relative to the market interest rate, the picture is more blurred, depending on assumptions on reactivation (recovery) and independence.",
author = "Henriksen, {Lars Frederik Brandt} and Nielsen, {Jeppe Woetmann} and Mogens Steffensen and Christian Svensson",
year = "2014",
doi = "10.1007/s13385-014-0091-2",
language = "English",
volume = "4",
pages = "1--29",
journal = "European Actuarial Journal",
issn = "2190-9733",
publisher = "Springer",
number = "1",

}

RIS

TY - JOUR

T1 - Markov chain modeling of policyholder behavior in life insurance and pension

AU - Henriksen, Lars Frederik Brandt

AU - Nielsen, Jeppe Woetmann

AU - Steffensen, Mogens

AU - Svensson, Christian

PY - 2014

Y1 - 2014

N2 - We calculate reserves regarding expected policyholder behavior. The behavior is modeled to occur incidentally similarly to insurance risk. The focus is on multi-state modelling of insurance risk and behavioral risk in terms of free policy risk and surrender risk. We discuss valuation techniques in the cases where behavior is modeled to occur independently or dependently of insurance risk, respectively. Ordinary differential equations make it easier to work with dependence between insurance risk and behavior risk. We analyze the effects of the underlying behavioral assumptions for two contracts. For a “new” contract with low technical interest rate relative to the market interest rate, we obtain the lowest reserve by counting in dependence. For an “old” contract with high technical interest rate relative to the market interest rate, the picture is more blurred, depending on assumptions on reactivation (recovery) and independence.

AB - We calculate reserves regarding expected policyholder behavior. The behavior is modeled to occur incidentally similarly to insurance risk. The focus is on multi-state modelling of insurance risk and behavioral risk in terms of free policy risk and surrender risk. We discuss valuation techniques in the cases where behavior is modeled to occur independently or dependently of insurance risk, respectively. Ordinary differential equations make it easier to work with dependence between insurance risk and behavior risk. We analyze the effects of the underlying behavioral assumptions for two contracts. For a “new” contract with low technical interest rate relative to the market interest rate, we obtain the lowest reserve by counting in dependence. For an “old” contract with high technical interest rate relative to the market interest rate, the picture is more blurred, depending on assumptions on reactivation (recovery) and independence.

U2 - 10.1007/s13385-014-0091-2

DO - 10.1007/s13385-014-0091-2

M3 - Journal article

VL - 4

SP - 1

EP - 29

JO - European Actuarial Journal

JF - European Actuarial Journal

SN - 2190-9733

IS - 1

ER -

ID: 130563297