The determinants of lapse rates in the Italian life insurance market

Barucci, Emilio; Colozza, Tommaso; Marazzina, Daniele; Rroji, Edit

doi:10.1007/s13385-020-00227-0

Cited by 8 publications

(2 citation statements)

References 34 publications

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“…Empirical results showed that "emergency fund theory" and "interest rate replacement theory" were valid in both short and long term, that is, unemployment rate and interest rate had a significant impact on surrender rate. Barucci et al (2020) [ 19 ] investigated the driving factors for the surrender of life insurance contracts of a large Italian insurance company, and found that personal financial/economic difficulties had a significant positive impact on the surrender rate. Cole and Fier (2021) [ 20 ] concluded that loan activity was an important factor affecting life insurance surrender.…”

Section: Review Of Relevant Literaturementioning

confidence: 99%

A firm-level analysis of Chinese commercial health insurance surrender

Tian,

Dong

2024

PLoS ONE

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Based on the unbalanced panel data of Chinese professional health insurance companies from 2011 to 2021, the paper constructs "PW+PCSE" model to empirically investigate the main factors affecting the commercial health insurance surrender in China from the company level. The results show that asset-liability ratio has a significant positive effect on health insurance surrender rate. The value preservation and appreciation rate of capital and R&D expenditure rate both have significant negative effects on health insurance surrender rate. These studies bring important enlightenment for domestic health insurance companies to avoid surrender risk.

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Section: Review Of Relevant Literaturementioning

confidence: 99%

A firm-level analysis of Chinese commercial health insurance surrender

Tian,

Dong

2024

PLoS ONE

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“…Regression analysis using panel data has been the most commonly used technique in econometrics and statistics due to its flexibility for comparison with other models [9]. Several scholars (see [10], [11] and [12]) studied the macroeconomic effect on lapse rate using this method and reported a concrete conclusion.…”

Section: Literature Reviewmentioning

confidence: 99%

Lapsation Risk: Takaful Operators In Malaysia

Nurul Hazwany Shamsuddin,

Siti Aida Sheikh Hussin,

Zalina Zahid

et al. 2023

AMCI

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Insurance serves as a tool for risk management. Takaful is an Islamic insurance where the concepts of mutual cooperation (ta’awun) and donation (tabarru’) are used as the main pillars. Apart from the usual market and credit risk, lapsation risk is one of the main risks faced by a life insurer. It is important to determine factors that may influence policy lapsation as it could affect the solvency and the profitability of insurance or a Takaful operator. Therefore, the relationship between surrender rates and economic variables (Unemployment Rate, Real Interest Rate, Growth Domestic Product (GDP), Inflation - Annual % change in Consumer Price Index and Stock Market Price Index (%) ) were examined for Takaful operator ordinary life and unit investment link products. Out of sample forecast was performed for 2019 to 2020 surrender rates for Takaful operator ordinary life and unit investment link products. Panel data model was applied for both purposes as the method is viable to overcome small sample size issue. The empirical findings revealed that the economic variable displayed a different impact on the surrender rate for both products. Both ordinary life and investment linked products exhibited a significant relationship between unemployment rate and surrender rate; in which higher unemployment rate led to increased surrender rate. Stock also had a statistically significant impact on the surrender rate of both products. Meanwhile, interest rate had an insignificant link with the surrender rate of both products. This outcome is in agreement with several past studies that reported no real relationship between interest rate and surrender rate; thus disregarding the infamous interest rate hypothesis. Lastly, Gross Domestic Product (GDP) displayed an insignificant correlation with the surrender rate of both products. By using Pool OLS model, the trend for ordinary life product decreased in 2020 for all Takaful operators. As for investment linked products, a decreasing trend was noted from 2019 to 2020; the lowest and the highest forecast rates in 2019 were ascribed to Takaful Ikhlas and Takaful Malaysia, respectively.

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Risk assessment for synthetic GICs: a quantitative framework for asset–liability management

Alimoradian,

Jakubiak,

Loisel

et al. 2024

Decisions Econ Finan

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This study addresses a research gap in quantitative modeling framework and scenario analysis for the risk management of stable value fund wraps, a crucial segment of the U.S. financial market with over USD $400 billion in assets. In this paper, we present an asset–liability model that encompasses an innovative approach to modeling the assets of fixed-income funds coupled with a liability model backed by empirical analysis on a unique data set covering 80% of the stand-alone plan sponsor market, contrasting with models based solely on regular deterministic cash flows and interest rate differences. Our model identifies and analyzes two critical risk scenarios from the insurer’s perspective: inflationary and yield spike. Our approach demonstrates that the tail risk of wraps, used as an economic capital measure, is sensitive to characteristic parameters of the fund, such as the duration, portfolio composition and credit quality of assets. This finding significantly differs from U.S. regulatory approaches like the NAIC’s, which often result in a zero capital requirement. These findings reveal limitations in current actuarial risk and profitability metrics for U.S. insurers and argue that a more sophisticated risk model reproducing the two critical scenarios is necessary.

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The determinants of lapse rates in the Italian life insurance market

Cited by 8 publications

References 34 publications

A firm-level analysis of Chinese commercial health insurance surrender

A firm-level analysis of Chinese commercial health insurance surrender

Lapsation Risk: Takaful Operators In Malaysia

Risk assessment for synthetic GICs: a quantitative framework for asset–liability management

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