Modélisation de l'espérance de vie des clients en assurance
In this master’s thesis, we develop a statistical method to estimate the lifetime expectancy of clients in the insurance domain. The forecasts are personnalized according to the clients’ own features, the most notable being the fact that they can have any combination of automobile and residential insurance products. Three approaches are compared. The first approach is the simple Markov model which assume homogeneity and stationnarity of the transition probabilities. The other model suggested – which is implemented both by direct computation and by simulation – allows for heterogeneity of the transition probabilities, thus providing forecasts which evolve in time along with the characteristics of the clients. The transitions probabilities are estimated using multinomial logistic regressions.
Lifetime expectancy Markov chain model multinomial logistic regression insurance