基于期权定价理论的投资连结保险退保行为研究  

Study on Equity-linked Life Insurance Surrender Based on Option Pricing Theory

作　　者：陈华[1] 罗洁[2] 

机构地区：[1]广东技术师范学院经贸学院,广东广州510262 [2]南京大学商学院,江苏南京210093

出　　处：《华东经济管理》2009年第3期33-37,共5页East China Economic Management

摘　　要：投资连结型保险产品遇到的大规模退保风险,会严重影响寿险公司资金运用的稳定性和流动性。文章认为,购买投资连结型保险产品的投保人具有较高的投资收益敏感性,投资收益较低时,投保人会选择退保来规避损失。通过分析投资连结保险的运行机制和产品特点,文章从保单中嵌含的退保期权出发来定量研究投保人的退保行为,在胥会平和王玉梅(2002)模型的基础上建立了退保期权的理论模型,并且求出其相应的解析解。随后通过数值模拟,分析了在保单持有期间该退保期权的价值变化的各种特征。Large scale surrender risk of equity-linked life insurance may largely affect stability and liquidity of life insurance company＇s fund managing. In this paper we have the opinion that the policy holders of buying equity-linked life insurance product have higher sensi- tivity of investment yield, and investment yield is lower than they expected, the policy holders choose surrender in order to avoiding los- ses. After analyzing operating mechanism and product＇s characters of equity-linked life insurance, we study surrender of the policy holders based on option of surrender embedded in the policy. And based on the model of Xu Hui-ping ＆ Wang Yu-mei （2002） , we established theoretical model of option of surrender, and get the analytic solution. Finally using numerical simulation, we analyze characters of valuation varying of option of surrender in the period of holding the policy.

关 键 词：投资连结保险 投资账户 退保期权 

分 类 号：F275[经济管理—企业管理]