A 2-step model is proposed to describe the dynamic behaviour of policyholder based on the properties of the double sigmoid functions. An application to evaluate the Best Estimate Liabilities of a portfolio of partecipating life insurance policies is presented and a price of the embedded surrender option is shown.
Dynamic Policyholder Behaviour and Surrender Option Evaluation for Life Insurance / Baione, F.; Biancalana, D.; De Angelis, P.; Granito, I.. - ELETTRONICO. - (2018), pp. 81-85. [10.1007/978-3-319-89824-7].
Dynamic Policyholder Behaviour and Surrender Option Evaluation for Life Insurance
Baione F.;Biancalana D.;De Angelis P.
Conceptualization
;Granito I.
2018
Abstract
A 2-step model is proposed to describe the dynamic behaviour of policyholder based on the properties of the double sigmoid functions. An application to evaluate the Best Estimate Liabilities of a portfolio of partecipating life insurance policies is presented and a price of the embedded surrender option is shown.File allegati a questo prodotto
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