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.

中文翻译：

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估计人寿保险的极端取消率

本文评估了人寿保险中大规模失效事件的风险。该事件的罕见性和保单持有人行为的复杂性使得这种情况的风险评估变得困难。通过模拟研究，我们使用公司层面的面板数据评估不同的估计方法如何评估这种情况的风险。然后我们使用性能最好的方法来估计美国和德国的大规模取消事件的概率分布函数。我们确定事件对公司和国家特征的依赖，监管机构没有考虑到这些。我们还发现，Solvency II 中当前的大规模失效情景对德国市场没有经验基础。