Risk Management: Modelling lapse and mortality rates
Our Client (BELGIUM) was looking for support to model and calibrate the mortality rates and the lapse rates.
Our consultants modelled and calibrated GLMs with requested explanatory variables. Then lapse rates and mortality rates were used in Solvency 2 framework to compute the Best Estimate and sensitivity tests have been performed to evaluate the impact of the annual review of the lapse and mortality rates on the Best Estimate.
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