ISSN 0253-2778

CN 34-1054/N

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Markov chains prediction model of insurance lapse or surrender probability

  • School of Mathematics Sciences, University of Science and Technology of China, Hefei 230026, China

Cite this:
https://doi.org/10.3969/j.issn.0253-2778.2020.07.009
  • Received Date: 29 April 2020
  • Accepted Date: 10 June 2020
  • Rev Recd Date: 10 June 2020
  • Publish Date: 31 July 2020
    Abstract

  • Abstract

    The continuous-time time-homogeneous Markov chain was used to construct a prediction model about the probability of insurance lapse or surrender to calculate the probability of being in various states at any time, and a parameter estimation method was given. In reality, the state of the insurance policy would have discrete events at a specific time, so the multi-stage Markov chain model was used to characterize this feature. That was, at a specific time when a discrete event occurs, a jump matrix was defined to describe the state transition at the specific time. The model was applied to the study of the life insurance lapse or surrender probability of insurance companies, and the model parameters were estimated and calibrated by actual data. Finally, the calibrated Markov chain model was used to predict the life insurance lapse or surrender probability and a good prediction result was obtained.

    Abstract

    The continuous-time time-homogeneous Markov chain was used to construct a prediction model about the probability of insurance lapse or surrender to calculate the probability of being in various states at any time, and a parameter estimation method was given. In reality, the state of the insurance policy would have discrete events at a specific time, so the multi-stage Markov chain model was used to characterize this feature. That was, at a specific time when a discrete event occurs, a jump matrix was defined to describe the state transition at the specific time. The model was applied to the study of the life insurance lapse or surrender probability of insurance companies, and the model parameters were estimated and calibrated by actual data. Finally, the calibrated Markov chain model was used to predict the life insurance lapse or surrender probability and a good prediction result was obtained.
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    • References(14)
  • [1]
    孙蓉, 张宗军.寿险业退保行为及其影响因素实证研究[J].保险研究, 2012(8):39-45.
    SUN Rong,ZHANG Zongjun. An empirical study of factors affecting surrender behaviors in life insurance industry[J]. Insurance Studies, 2012(8):39-45.
    [2]
    何欣, 陈华.宏微观视角下的我国寿险市场退保率影响因素研究[J].保险研究, 2015(4) :24-36.
    HE Xin, CHEN Hua.An macro and micro analysis of determinants for life insurance policy surrender rate[J]. Insurance Studies,2015(4):24-36.
    [3]
    陈华, 孙越君.中国寿险产品退保率的影响因素分析-基于省级面板数据的实证检验[J].当代经济科学, 2014(4):87-93.
    CHEN Hua,SUN Yuejun. Analysis on the factors that influence Chinese life insurance products’ surrender rate: Empirical test based on provincial panel data[J]. Modern Economic Science,2014(4):87-93.
    [4]
    展凯, 陈华.我国寿险保单退保影响因素的实证研究——基于公司层面的微观数据[J]. 保险研究, 2013(6):59-67.
    ZHAN Kai, CHEN Hua.An empirical analysis on factors impacting life insurance surrender: Based on micro data from insurance companies[J]. Insurance Studies, 2013(6):59-67.
    [5]
    RUSSELL DT, FIER SG, CARSON J, et al.An empirical analysis of life insurance policy surrender activity [J].Journal of Insurance Issues, 2013, 36(1): 35-57.
    [6]
    MILHAUD X.Exogenous and endogenous risk factors management to predict surrender behaviours [J].ASTIN Bulletin: The Journal of the IAA, 2013, 43(3):373-398.
    [7]
    毕泗锋, 亓超.寿险保单退保影响因素研究——基于“信息认知偏差理论”的解释[J].保险研究, 2018(5):58-74.
    BI Sifeng, QI Chao.A study on factors affecting life insurance policy surrender: Based on the interpretation of information cognitive Bias[J].Insurance Studies, 2018(5):58-74.
    [8]
    王向楠.中国寿险产品退保的实证研究——基于险种分类视角[J].广东金融学院学报, 2012(11):104-113.
    WANG Xiangnan. An empirical research of China’s life insurance surrender： Based on insurance types[J]. Journal of Guangdong University of Finance,2012(11):104-113.
    [9]
    郭春燕.Cox模型的压缩预测方法在退保率预测中的应用研究[J].保险研究, 2010(3):11-19.
    GUO Chunyan. The application of shrinkage method of Cox model in predicting surrender rate[J]. Insurance Studies,2010(3):11-19.
    [10]
    KIM C.Modeling surrender and lapse rates with economic variables [J].North American Actuarial Journal, 2005, 9(4):56-70.
    [11]
    NEVES C, FERNANDES C, MELO E.Forecasting surrender rates using elliptical copulas and financial variables [J].North American Actuarial Journal, 2014, 18(2): 343-362.
    [12]
    ROLSKI T, SCHMIDLI H, SCHMIDT V, et al.Stochastic Processes for Insurance and Finance[M].New York: Wiley, 1998: 311-312.
    [13]
    TOMASZ RB, MAREK R.Credit Risk: Modeling, Valuation and Hedging[M]. Berlin/Heidelberg: Springer-Verlag, 2004: 324-325.
    [14]
    KORALOV LB, SINAI YG.Theory of Probability and Random Processes [M].Berlin: Springer-Verlag, 2007: 201-206.)
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    [1]
    孙蓉, 张宗军.寿险业退保行为及其影响因素实证研究[J].保险研究, 2012(8):39-45.
    SUN Rong,ZHANG Zongjun. An empirical study of factors affecting surrender behaviors in life insurance industry[J]. Insurance Studies, 2012(8):39-45.
    [2]
    何欣, 陈华.宏微观视角下的我国寿险市场退保率影响因素研究[J].保险研究, 2015(4) :24-36.
    HE Xin, CHEN Hua.An macro and micro analysis of determinants for life insurance policy surrender rate[J]. Insurance Studies,2015(4):24-36.
    [3]
    陈华, 孙越君.中国寿险产品退保率的影响因素分析-基于省级面板数据的实证检验[J].当代经济科学, 2014(4):87-93.
    CHEN Hua,SUN Yuejun. Analysis on the factors that influence Chinese life insurance products’ surrender rate: Empirical test based on provincial panel data[J]. Modern Economic Science,2014(4):87-93.
    [4]
    展凯, 陈华.我国寿险保单退保影响因素的实证研究——基于公司层面的微观数据[J]. 保险研究, 2013(6):59-67.
    ZHAN Kai, CHEN Hua.An empirical analysis on factors impacting life insurance surrender: Based on micro data from insurance companies[J]. Insurance Studies, 2013(6):59-67.
    [5]
    RUSSELL DT, FIER SG, CARSON J, et al.An empirical analysis of life insurance policy surrender activity [J].Journal of Insurance Issues, 2013, 36(1): 35-57.
    [6]
    MILHAUD X.Exogenous and endogenous risk factors management to predict surrender behaviours [J].ASTIN Bulletin: The Journal of the IAA, 2013, 43(3):373-398.
    [7]
    毕泗锋, 亓超.寿险保单退保影响因素研究——基于“信息认知偏差理论”的解释[J].保险研究, 2018(5):58-74.
    BI Sifeng, QI Chao.A study on factors affecting life insurance policy surrender: Based on the interpretation of information cognitive Bias[J].Insurance Studies, 2018(5):58-74.
    [8]
    王向楠.中国寿险产品退保的实证研究——基于险种分类视角[J].广东金融学院学报, 2012(11):104-113.
    WANG Xiangnan. An empirical research of China’s life insurance surrender： Based on insurance types[J]. Journal of Guangdong University of Finance,2012(11):104-113.
    [9]
    郭春燕.Cox模型的压缩预测方法在退保率预测中的应用研究[J].保险研究, 2010(3):11-19.
    GUO Chunyan. The application of shrinkage method of Cox model in predicting surrender rate[J]. Insurance Studies,2010(3):11-19.
    [10]
    KIM C.Modeling surrender and lapse rates with economic variables [J].North American Actuarial Journal, 2005, 9(4):56-70.
    [11]
    NEVES C, FERNANDES C, MELO E.Forecasting surrender rates using elliptical copulas and financial variables [J].North American Actuarial Journal, 2014, 18(2): 343-362.
    [12]
    ROLSKI T, SCHMIDLI H, SCHMIDT V, et al.Stochastic Processes for Insurance and Finance[M].New York: Wiley, 1998: 311-312.
    [13]
    TOMASZ RB, MAREK R.Credit Risk: Modeling, Valuation and Hedging[M]. Berlin/Heidelberg: Springer-Verlag, 2004: 324-325.
    [14]
    KORALOV LB, SINAI YG.Theory of Probability and Random Processes [M].Berlin: Springer-Verlag, 2007: 201-206.)
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