Lapse rate modeling: a rational expectation approach
نویسندگان
چکیده
منابع مشابه
Lapse Rate Modeling: A Rational Expectation Approach
The surrender option embedded in many life insurance products is a clause that allows policyholders to terminate the contract early. Pricing techniques based on the American Contingent Claim (ACC) theory are often used, though the actual policyholders’ behavior is far from optimal. Inspired by many prepayment models for mortgage backed securities, this paper builds a Rational Expectation (RE) m...
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ژورنال
عنوان ژورنال: Scandinavian Actuarial Journal
سال: 2010
ISSN: 0346-1238,1651-2030
DOI: 10.1080/03461230802550649