Dynamic Policyholder Behaviour and Surrender Option Evaluation for Life Insurance
02 Pubblicazione su volume
Baione F., Biancalana D., De Angelis P., Granito I.
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.