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Lapse risk in life insurance: correlation and contagion eff..:

Barsotti, Flavia ; Milhaud, Xavier ; Salhi, Yahia
info:eu-repo/semantics/altIdentifier/doi/10.1016/j.insmatheco.2016.09.008. , 2016

Link: https://hal.science/hal-01282601

RT Journal
T1 <Title>Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors</Title>

UL https://suche.suub.uni-bremen.de/peid=base-ftunivlyon:oai:HAL:hal-01282601v2&Exemplar=1&LAN=DE
				
A1 Barsotti, Flavia
A1 Milhaud, Xavier
A1 Salhi, Yahia
PB HAL CCSD; Elsevier
YR 2016
K1 Dynamic Policyholders' Behavior
K1 Surrender
K1 Lapse Risk
K1 Hawkes Process
K1 Stress Tests
K1 Correlation
K1 Dynamic Contagion Process
K1 Contagion
K1 Interest Rates Dynamic
K1 JEL: G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G22 - Insurance • Insurance Companies • Actuarial Studies
K1 [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM]
K1 [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
K1 [STAT.AP]Statistics [stat]/Applications [stat.AP]
K1 [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST]
JF info:eu-repo/semantics/altIdentifier/doi/10.1016/j.insmatheco.2016.09.008
LK http://dx.doi.org/https://hal.science/hal-01282601
DO https://hal.science/hal-01282601
SF ELIB - SuUB Bremen

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