Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/135868


Title: Applying economic measures to lapse risk management with machine learning approaches
Authors: 蔡政憲
Tsai, Jason
Loisel, Stéphane
Piette, Pierrick
Contributors: 風管系
Date: 2021-06
Issue Date: 2021-06-25 09:48:28 (UTC+8)
Abstract: Modeling policyholders lapse behaviors is important to a life insurer since lapses affect pricing, reserving, profitability, liquidity, risk management, as well as the solvency of the insurer. Lapse risk is indeed the most significant life underwriting risk according to European Insurance and Occupational Pensions Authority's Quantitative Impact Study QIS5. In this paper, we introduce two advanced machine learning algorithms for lapse modeling. Then we evaluate the performance of different algorithms by means of classical statistical accuracy and profitability measure. Moreover, we adopt an innovative point of view on the lapse prediction problem that comes from churn management. We transform the classification problem into a regression question and then perform optimization, which is new for lapse risk management. We apply different algorithms to a large real-world insurance dataset. Our results show that XGBoost and SVM outperform CART and logistic regression, especially in terms of the economic validation metric. The optimization after transformation brings out significant and consistent increases in economic gains.
Relation: ASTIN Bulletin: The Journal of the IAA ,  First View , pp. 1 - 33
Data Type: article
DOI 連結: https://doi.org/10.1017/asb.2021.10
Appears in Collections:[風險管理與保險學系 ] 期刊論文

Files in This Item:

File Description SizeFormat
151.pdf633KbAdobe PDF36View/Open


All items in 學術集成 are protected by copyright, with all rights reserved.


社群 sharing