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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
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  • HAL Id : tel-01153397, version 1



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⟩