Research Projects
Research Projects in Risk Management
Policyholder Behavior in the Tail Project–Annuity Lapse Modeling
The Society of Actuaries' (SOA) Policyholder Behavior in the Tail Group was formed to develop better estimates of policyholder behavior in extreme situations (a.k.a. the tail of the distribution). To further its mission, the group commissioned two research papers examining the modeling of annuity lapse rates under extreme conditions. Funding for the papers was provided by the SOA's Committee on Finance Research.
The resulting papers provide different perspectives on how these rates may be modeled. Changki Kim's paper applies a Logit model to Korean and U.S. experience. Sam Cox and Yijia Lin employ a different approach that relies on a Tobit model in its analysis of annuity lapse rates. Cox and Lin also suggest that a Count model may be more appropriate if more expanded lapse data were available.
The reports can be accessed by clicking on the links below:
The Group wishes to thank the following members of Project Oversight Group:
- Robert Lalonde, Chair
- Pete Bondy
- Sam Cox
- Dale Hagstrom
- Stephen Hodges
- James Reiskytl
- Randy Tillis
- Steven Siegel, SOA Research Actuary
- Jeanne Nallon, SOA Research Assistant
Special thanks to Robert Lalonde for the extensive editing and helpful suggestions on the papers.
If you have any questions or comments regarding these reports, please contact Steven Siegel, SOA Research Actuary.