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Exogenous And Endogenous Risk Factors Management To Predict Surrender Behaviours

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  • Milhaud, Xavier

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 modelling 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.

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  • Milhaud, Xavier, 2013. "Exogenous And Endogenous Risk Factors Management To Predict Surrender Behaviours," ASTIN Bulletin, Cambridge University Press, vol. 43(3), pages 373-398, September.
    • Handle: RePEc:cup:astinb:v:43:y:2013:i:03:p:373-398_00
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    Cited by:

    1. Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016. "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 317-331.
    2. Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016. "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 317-331.
    3. Xavier Milhaud & Christophe Dutang, 2018. "Lapse tables for lapse risk management in insurance: a competing risk approach," Post-Print hal-01727669, HAL.
    4. Xavier Milhaud & Christophe Dutang, 2018. "Lapse tables for lapse risk management in insurance: a competing risk approach," Post-Print hal-01985256, HAL.

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