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Policyholder Behavior in the Tail Task Force
James Reiskytl, Leader
Goal
to research dynamic policyholder behavior assumptions for critical
risk factors under different economic conditions
Initial Product and
Process
Critical risk factors affecting life and annuity products include:
- lapse rates
- change in equity markets
- sophistication of policyholder base
- deposit and withdrawal behavior
- anti-selective lapsation
- outside sources
- interest rate change
- distribution systems
- annuitization patterns
- patterns of resetting to current market values
- premium-paying patterns for flexible products influence of change
in non-guaranteed elements
- Actuaries have established dynamic policyholder behavior
assumptions reflecting perhaps, at best, educated guesses as to
what actual policyholder behavior will be under stress
conditions.
- Actual experience may not exist and the experience that does
exist may be ignored.
- The subgroup will consider the range of likely policyholder
behavior results, the impact of assumptions on risk results and
the dependency on product design, product features, economic
conditions, etc.
- The subgroup will consider the utility of creating and
analyzing various policyholder behavior characteristics under
different scenarios in a format of a matrix-based approach, use
of delphi techniques, confidentiality of information,
credibility of policyholder behavior data, measures of
inefficiencies, "cliffs" in policyholder behavior assumptions
in the tails, and the techniques for dealing with these
problems when there is very limited, if any, experience data.
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