考虑违约情况下累积分红寿险的退保权定价模型  

Evaluation of surrender option in unitized participating life insurance with default

作　　者：郑海涛[1] 罗淇耀[1] 秦中峰[1] 任若恩[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191

出　　处：《系统工程理论与实践》2013年第6期1361-1371,共11页Systems Engineering-Theory & Practice

基　　金：国家创新研究群体科学基金(70821061);国家自然科学基金重点项目(71031001);国家自然科学基金面上项目(71171009);国家自然科学基金青年项目(70901003;71001003);教育部人文社会科学一般项目(07JC790072);广义虚拟经济专项资助(GX2010-1001(Z))

摘　　要：保险公司的违约风险和被保险人的退保行为是影响累积分红寿险价格的重要因素.为了扩展我们前期的相关研究成果,该研究放宽违约和退保假设,即在每个保险年度的年末存在违约可能和被保险人可能在年末退保,逐步建立三个定价模型来探讨在考虑违约情况下的累积分红寿险内嵌退保权的定价问题,并通过蒙特卡罗方法对定价模型进行了模拟计算.研究结果表明:若在定价模型中不考虑退保权问题,会严重低估累积分红寿险的价值,且退保权价值对资产波动率等多种因素的敏感性都很高;违约价值的增加对退保权价值的增加起到了正面作用.Both insurer＇s default risk and insured＇s surrender events are important factors in pricing unitized participating life insurance. In order to extend the results presented in our earlier research, we suppose that both surrender and default could happen at the end of each insurance year. In this paper, three models are constructed for pricing surrender option with insolvency. An iterative algorithm based on Monte Carlo simulation method is then implemented in order to compute them. The findings are as follows： price of unitized participating life insurance could be badly underestimated without consideration of surrender option, price of which is highly sensitive to some exogenous variables such as volatility. It was also implied that growth in default risk tends to result in growth in value of surrender option.

关 键 词：累积分红寿险 退保权 违约风险 定价模型 

分 类 号：F830[经济管理—金融学]