存在退保时分红寿险定价的最小二乘蒙特卡罗模拟  

Least Square Monte Carlo Simulation for Valuation of Participating Life Insurance Embedding a Surrender Option

作　　者：杨舸[1] 田澎[1] 

机构地区：[1]上海交通大学管理学院,上海200052

出　　处：《管理工程学报》2006年第3期62-66,共5页Journal of Industrial Engineering and Engineering Management

摘　　要：分红型人寿保险保单可以视作由三部分构成:固定收益债券、分红权和退保权。退保权的存在使保单具有美式期权的性质,给定价带来困难。本文用最小二乘蒙特卡罗模拟,建立了计算保单价值的模型,给出了模拟计算结果。Participating life insurance can be decomposed into three parts： a fixed-income bond, a bonus option and a surrender option. The surrender, which makes the contract into an American option right, brings difficult on its pricing. A pricing model is made under least square Monte Carlo simulation, and the simulation results are given.

关 键 词：分红寿险 退保权 最小二乘蒙特卡罗模拟 美式期权 

分 类 号：F840.62[经济管理—保险]