Skip to Main content Skip to Navigation
Theses

Mélanges de GLMs et nombre de composantes : application au risque de rachat en Assurance Vie

Abstract : Insurers have been concerned about surrenders for a long time especially in Saving business, where huge sums are at stake. The emergence of the European directive Solvency II, which promotes the development of internal risk models (among which a complete unit is dedicated to surrender risk management), strengthens the necessity to deeply study and understand this risk. In this thesis we investigate the topics of segmenting and modeling surrenders in order to better know and take into account the main risk factors impacting policyholders’ decisions. We find that several complex aspects must be specifically dealt with to predict surrenders, in particular the heterogeneity of behaviours and their correlations as well as the context faced by the insured. Combining them, we develop a methodology that seems to provide good results on given business lines, and that moreover can be adapted for other products with little effort. However the model selection step suffers from a lack of parsimoniousness: we suggest to use another criteria based on a new estimator, and prove its consistant properties in the framework of mixtures of generalized linear models
Document type :
Theses
Complete list of metadatas

Cited literature [165 references]  Display  Hide  Download

https://tel.archives-ouvertes.fr/tel-01153397
Contributor : Abes Star :  Contact
Submitted on : Tuesday, May 19, 2015 - 5:22:17 PM
Last modification on : Wednesday, November 20, 2019 - 3:09:04 AM
Long-term archiving on: : Tuesday, September 15, 2015 - 6:22:31 AM

File

TH2012MilhaudXavier.pdf
Version validated by the jury (STAR)

Identifiers

  • HAL Id : tel-01153397, version 1

Collections

Citation

Xavier Milhaud. Mélanges de GLMs et nombre de composantes : application au risque de rachat en Assurance Vie. Mathématiques générales [math.GM]. Université Claude Bernard - Lyon I, 2012. Français. ⟨NNT : 2012LYO10097⟩. ⟨tel-01153397⟩

Share