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 :
Article dans une revue
ASTIN Bulletin, Cambridge University Press (CUP), 2013, 43 (3), pp.373-398. 〈10.1017/asb.2013.2〉
Liste complète des métadonnées

Littérature citée [13 références]  Voir  Masquer  Télécharger

https://hal.archives-ouvertes.fr/hal-00732887
Contributeur : Xavier Milhaud <>
Soumis le : lundi 17 septembre 2012 - 12:31:55
Dernière modification le : jeudi 7 février 2019 - 14:40:11
Document(s) archivé(s) le : vendredi 16 décembre 2016 - 14:01:11

Fichier

SurrendersByGLM-Mixture-309201...
Fichiers produits par l'(les) auteur(s)

Identifiants

Collections

Citation

Xavier Milhaud. Exogenous and endogenous risk factors management to predict surrender behaviours. ASTIN Bulletin, Cambridge University Press (CUP), 2013, 43 (3), pp.373-398. 〈10.1017/asb.2013.2〉. 〈hal-00732887〉

Partager

Métriques

Consultations de la notice

139

Téléchargements de fichiers

3661