Reserve-dependent surrender rates

Kamille Sofie Tagholt Gad; Jeppe Juhl; Mogens Steffensen

doi:10.1007/s13385-015-0111-x

Reserve-dependent surrender rates

Kamille Sofie Tagholt Gad, Jeppe Juhl, Mogens Steffensen

Department of Mathematical Sciences

Research output: Contribution to journal › Journal article › Research › peer-review

1 Citation (Scopus)

Original language	English
Journal	European Actuarial Journal
Volume	5
Issue number	2
Pages (from-to)	283-308
ISSN	2190-9733
DOIs	https://doi.org/10.1007/s13385-015-0111-x
Publication status	Published - Dec 2015

Keywords

Behavioural option
Ordinary differential equation
Penalty method
Optimal stopping
Solvency II

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10.1007/s13385-015-0111-x

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Cite this

@article{c3d657efe3ba4a87ab116782670fcea3,

title = "Reserve-dependent surrender rates",

keywords = "Behavioural option, Ordinary differential equation, Penalty method, Optimal stopping, Solvency II",

author = "Gad, {Kamille Sofie Tagholt} and Jeppe Juhl and Mogens Steffensen",

year = "2015",

month = dec,

doi = "10.1007/s13385-015-0111-x",

language = "English",

volume = "5",

pages = "283--308",

journal = "European Actuarial Journal",

issn = "2190-9733",

publisher = "Springer",

number = "2",

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T1 - Reserve-dependent surrender rates

AU - Gad, Kamille Sofie Tagholt

AU - Juhl, Jeppe

AU - Steffensen, Mogens

PY - 2015/12

Y1 - 2015/12

KW - Behavioural option

KW - Ordinary differential equation

KW - Penalty method

KW - Optimal stopping

KW - Solvency II

U2 - 10.1007/s13385-015-0111-x

DO - 10.1007/s13385-015-0111-x

M3 - Journal article

SN - 2190-9733

VL - 5

SP - 283

EP - 308

JO - European Actuarial Journal

JF - European Actuarial Journal

IS - 2

ER -