A retention strategy based on an enlightened lapse model is a powerful profitability lever for a life insurer. Some machine learning models are excellent at predicting lapse, but from the insurer’s perspective, predicting which policyholder is likely to lapse is not enough to design a retention strategy. In our paper, we define a lapse management framework with an appropriate validation metric based on Customer Lifetime Value and profitability. We include the risk of death in the study through competing risks considerations in parametric and tree-based models and show that further individualization of the existing approaches leads to increased performance. We show that survival tree-based models outperform parametric approaches and that the actuarial literature can significantly benefit from them. Then, we compare, on real data, how this framework leads to increased predicted gains for a life insurer and discuss the benefits of our model in terms of commercial and strategic decision-making.
{"title":"Including individual customer lifetime value and competing risks in tree-based lapse management strategies","authors":"Mathias Valla, Xavier Milhaud, Anani Ayodélé Olympio","doi":"10.1007/s13385-023-00358-0","DOIUrl":"https://doi.org/10.1007/s13385-023-00358-0","url":null,"abstract":"A retention strategy based on an enlightened lapse model is a powerful profitability lever for a life insurer. Some machine learning models are excellent at predicting lapse, but from the insurer’s perspective, predicting which policyholder is likely to lapse is not enough to design a retention strategy. In our paper, we define a lapse management framework with an appropriate validation metric based on Customer Lifetime Value and profitability. We include the risk of death in the study through competing risks considerations in parametric and tree-based models and show that further individualization of the existing approaches leads to increased performance. We show that survival tree-based models outperform parametric approaches and that the actuarial literature can significantly benefit from them. Then, we compare, on real data, how this framework leads to increased predicted gains for a life insurer and discuss the benefits of our model in terms of commercial and strategic decision-making.","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135825003","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-30DOI: 10.1007/s13385-023-00361-5
Jiajun Liu, T. Shushi
{"title":"Asymptotics of the loss-based tail risk measures in the presence of extreme risks","authors":"Jiajun Liu, T. Shushi","doi":"10.1007/s13385-023-00361-5","DOIUrl":"https://doi.org/10.1007/s13385-023-00361-5","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45169834","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-21DOI: 10.1007/s13385-023-00359-z
Adrien Pothon
{"title":"Discussion on “Stochastic assessment of seismic risk using faults to address the incomplete information in historical catalogues.” (Louloudis et al)","authors":"Adrien Pothon","doi":"10.1007/s13385-023-00359-z","DOIUrl":"https://doi.org/10.1007/s13385-023-00359-z","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46712619","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-10DOI: 10.1007/s13385-023-00360-6
Léonie Le Bastard
{"title":"Coherent extrapolation of mortality rates at old ages applied to long term care","authors":"Léonie Le Bastard","doi":"10.1007/s13385-023-00360-6","DOIUrl":"https://doi.org/10.1007/s13385-023-00360-6","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46562128","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-07-18DOI: 10.1007/s13385-023-00357-1
R. Ionescu, Tiziana Torri
{"title":"Discussion on “Selection effect modification to the Lee-Carter model” (J. C. Yue et al.)","authors":"R. Ionescu, Tiziana Torri","doi":"10.1007/s13385-023-00357-1","DOIUrl":"https://doi.org/10.1007/s13385-023-00357-1","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48140437","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-06-23DOI: 10.1007/s13385-023-00354-4
Vanessa Hanna, P. Devolder
{"title":"Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates","authors":"Vanessa Hanna, P. Devolder","doi":"10.1007/s13385-023-00354-4","DOIUrl":"https://doi.org/10.1007/s13385-023-00354-4","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42860555","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-06-06DOI: 10.1007/s13385-023-00351-7
Zezhun Chen, A. Dassios, G. Tzougas
{"title":"EM estimation for bivariate mixed poisson INAR(1) claim count regression models with correlated random effects","authors":"Zezhun Chen, A. Dassios, G. Tzougas","doi":"10.1007/s13385-023-00351-7","DOIUrl":"https://doi.org/10.1007/s13385-023-00351-7","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47981137","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-06-05DOI: 10.1007/s13385-023-00352-6
I. E. Andersen, A. S. Lollike
{"title":"Efficient projections of with-profit life insurance using lumping","authors":"I. E. Andersen, A. S. Lollike","doi":"10.1007/s13385-023-00352-6","DOIUrl":"https://doi.org/10.1007/s13385-023-00352-6","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43528097","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-05-26DOI: 10.1007/s13385-023-00353-5
M. Denuit, J. Trufin
{"title":"Model selection with Pearson’s correlation, concentration and Lorenz curves under autocalibration","authors":"M. Denuit, J. Trufin","doi":"10.1007/s13385-023-00353-5","DOIUrl":"https://doi.org/10.1007/s13385-023-00353-5","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48722611","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-05-26DOI: 10.1007/s13385-023-00348-2
T. Cipra, R. Hendrych
{"title":"Holt–Winters method for run-off triangles in claims reserving","authors":"T. Cipra, R. Hendrych","doi":"10.1007/s13385-023-00348-2","DOIUrl":"https://doi.org/10.1007/s13385-023-00348-2","url":null,"abstract":"","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43498199","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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