Estimating extreme cancellation rates in life insurance
通过模拟研究评估不同估计方法对寿险大规模退保事件风险的评估效果，并用最优方法估计美国和德国的大规模退保概率分布，发现当前偿付能力II中的退保场景缺乏德国市场的实证基础。
Abstract This paper assesses the risk of a mass lapse event in life insurance. The rarity of the event and the complexity of policyholder behavior make the risk assessment of such a scenario difficult. Using a simulation study, we evaluate how different estimation methods can assess the risk of this scenario, using panel data at the company level. We then use the best‐performing method to estimate the probability distribution function of a mass cancellation event in the United States and Germany. We identify dependencies of the event on company and country characteristics, which have not been taken into account by regulating agencies. We also find that the current mass lapse scenario in Solvency II has no empirical foundation for the German market. We show that an empirically valid scenario leads to a significantly lower solvency capital requirement for the average German life insurer.