Exogenous and endogenous risk factors management to predict surrender behaviours

Xavier Milhaud 1, 2
1 Laboratoire de Finance et d'Assurance
CREST-INSEE - Centre de Recherche en Economie et en Statistique
Abstract : Insurers have been concerned about surrenders for a long time especially in Saving business, where huge sums are at stake. The emergence of the European directive Solvency II, which promotes the development of internal risk models (among which a complete unit is dedicated to surrender risk management), strengthens the necessity to deeply study and understand this risk. In this paper we investigate the topics of segmenting and modeling surrenders in order to better take into account the main risk factors impacting policyholders' decisions. We find that several complex aspects must be specifically dealt with to predict surrenders, in particular the heterogeneity of behaviour as well as the context faced by the insured. Combining them, we develop a new methodology that seems to provide good results on given business lines, and that moreover can be adapted for other products with little effort.
Type de document :
Pré-publication, Document de travail
26 pages. 2012
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Contributeur : Xavier Milhaud <>
Soumis le : lundi 17 septembre 2012 - 12:31:55
Dernière modification le : vendredi 18 janvier 2019 - 01:19:39
Document(s) archivé(s) le : vendredi 16 décembre 2016 - 14:01:11


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  • HAL Id : hal-00732887, version 1



Xavier Milhaud. Exogenous and endogenous risk factors management to predict surrender behaviours. 26 pages. 2012. 〈hal-00732887〉



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