Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors


We model lapse risk in life insurance by integrating the dynamic aspects of policyholders’ behaviors and the dependency of the lapse intensity on macroeconomic conditions. We introduce a mathematical framework where the... [ view full abstract ]


  1. Flavia Barsotti (UniCredit Spa)
  2. Xavier Milhaud (ISFA)
  3. SALHI Yahia (ISFA)

Topic Areas

Insurance , Interest Rates , Risk Management


FR-A-DA » Credit Risk 3 (10:00 - Friday, 20th July, Davis)

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