التفاصيل البيبلوغرافية
| العنوان: |
The Thermodynamic Approach to Whole-Life Insurance: A Method for Evaluation of Surrender Risk |
| المؤلفون: |
Jir^o Akahori, Yuuki Ida, Maho Nishida, Shuji Tamada |
| المصدر: |
arXiv.org, Papers. |
| الوصف: |
We introduce a collective model for life insurance where the heterogeneity of each insured, including the health state, is modeled by a diffusion process. This model is influenced by concepts in statistical mechanics. Using the proposed framework, one can describe the total pay-off as a functional of the diffusion process, which can be used to derive a level premium that evaluates the risk of lapses due tothe so-called adverse selection. Two numerically tractable models are presented to exemplify the flexibility of the proposed framework. |
| Original Identifier: |
2012.09606 |
| نوع الوثيقة: |
redif-paper |
| اللغة: |
English |
| الإتاحة: |
https://ideas.repec.org/p/arx/papers/2012.09606.html |
| رقم الأكسشن: |
edsrep.p.arx.papers.2012.09606 |
| قاعدة البيانات: |
RePEc |
