Lapse rate modeling: a rational expectation approach

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Cash flows and policyholder behaviour in the semi-Markov life insurance setup (2015, background): “Rational surrender is studied in Steffensen (2002), and attempts to couple rational and random behaviour are carried out in De Giovanni (2010) and Buchardt (2013). In this paper, we carry on with the modelling of policyholder behaviour as occuring randomly, and this corresponds to a large extent to ”
The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities (2011, unknown): “De Giovanni (2008) uses a ‘Rational Expectation’ model describing the policyholder’s behavior in surrendering the contract, which also allows for irrational policyholder behavior.”