Risk Management
Task Force

Policyholder Behavior in the Tail Subgroup



Credit Risk Management | Economic Capital Calculation and Allocation
Enterprise Risk Management | Equity Modeling | Extreme Value Models
Health Risk Management | Policyholder Behavior in the Tail
Pricing for Risk | Risk Based Capital Covariance | Risk Management Metrics

Policyholder Behavior in the Tail
James Reiskytl, Leader


  • to research dynamic policyholder behavior assumptions for critical risk factors under different economic conditions

Initial Product and Process

Critical risk factors affecting life and annuity products include:
  • lapse rates
  • change in equity markets
  • sophistication of policyholder base
  • deposit and withdrawal behavior
  • anti-selective lapsation
  • outside sources
  • interest rate change
  • distribution systems
  • annuitization patterns
  • patterns of resetting to current market values
  • premium-paying patterns for flexible products influence of change in non-guaranteed elements
  1. Actuaries have established dynamic policyholder behavior assumptions reflecting perhaps, at best, educated guesses as to what actual policyholder behavior will be under stress conditions.
  2. Actual experience may not exist and the experience that does exist may be ignored.
  3. The subgroup will consider the range of likely policyholder behavior results, the impact of assumptions on risk results and the dependency on product design, product features, economic conditions, etc.
  4. The subgroup will consider the utility of creating and analyzing various policyholder behavior characteristics under different scenarios in a format of a matrix-based approach, use of delphi techniques, confidentiality of information, credibility of policyholder behavior data, measures of inefficiencies, "cliffs" in policyholder behavior assumptions in the tails, and the techniques for dealing with these problems when there is very limited, if any, experience data.

Documents & Links

Preliminary work products:
(coming soon)

Recent Meeting Minutes:
PBITT Project Update

PBITT Minutes – June 28, 2005
PBITT Minutes – July, 2004
PBITT Minutes – May 28, 2004

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