Reserve-dependent surrender rates

Kamille Sofie Tagholt Gad, Jeppe Juhl, Mogens Steffensen

Original languageEnglish
JournalEuropean Actuarial Journal
Volume5
Issue number2
Pages (from-to)283-308
ISSN2190-9733
DOIs
Publication statusPublished - 1 Dec 2015

Keywords

  • Behavioural option
  • Ordinary differential equation
  • Penalty method
  • Optimal stopping
  • Solvency II

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