多因素下累积分红寿险合同的公允定价模型  

Fair pricing guaranteed unitized participating life insurance with annual premium and surrender option

作　　者：郑海涛[1] 秦中峰[1] 罗淇耀[1] 任若恩[1] 柏满迎[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：《管理科学学报》2014年第12期60-74,共15页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70901003;71001003;71171009;71031001;71071009;71371021);中国保险监督管理委员会部级研究课题资助项目(QNA201011);北京市哲学社会科学规划资助项目(11JGC102);中央高校基本科研业务费资助项目(YWF-13-A02-09)

摘　　要：累积分红寿险合同的价格受死亡、退保、最小保证利率、年度分红和终了分红政策等多种因素影响,与一般分红寿险合同相比,其最重要的特征是存在终了分红权,现有研究鲜有建立这些因素共同影响下的终了分红权定价模型,以确定累积分红寿险合同的公允价值.为此,文章把传统精算定价理论与金融未定权益估值理论相结合,分4个步骤建立了多因素下累积分红寿险合同的公允定价模型和终了分红权的定价模型,并分析了死亡率、最小保证利率、年度分红率、终了分红率和退保因素等对终了分红权的影响,给出了不同影响因素下累积分红寿险的年均衡保费.通过蒙特卡罗方法对定价模型进行了模拟计算,并与传统的定价模型进行对比,研究发现:终了分红权的价值要高于退保权,终了分红的存在抑制了退保;随着死亡率、最小保证利率、终了分红利率的上升,无风险利率、年度分红率、资产波动率的下降,终了分红的价值呈现增加的趋势.This paper analyzes a unitized participating life insurance endowment policy,paid by annual premiums,in which a minimum return,an annual bonus and a terminal bonus are guaranteed to the policyholder.Moreover,the policy under scrutiny is characterized by the presence of a surrender option. Compared with other participating life insurance policies,the most important feature of this policy is the terminal bonus option.However,current researches on pricing of this policy rarely considered the terminal bonus option together with the other embedded options. The aim of the paper is to give sufficient conditions under which there exists a fair premium and the pricing of terminal bonus option is also well considered. This premium is implicitly defined by an equation based on the classical actuarial pricing technique and contingent claim pricing theory. An iterative algorithm based on Monte Carlo simulation method is then implemented in order to compute it. Based on this valuation approach,the paper also provided both theoretical and numerical analysis of the effect that mortality rate,guarantees,annual bonus,terminal bonus and surrender have on the value of terminal bonus option. The findings are as follows： Firstly,a terminal bonus option has a higher value than a surrender option and the terminal bonus decreases the incentive to surrender. Secondly,the value of terminal bonus option tends to go up along with any increase in mortality rate,minimum guaranteed interest rate or terminal bonus ratio and any decrease in risk free rate or volatility would also cause the value of terminal bonus option to increase.

关 键 词：累积分红寿险 终了分红权 退保权 死亡率 均衡保费 

分 类 号：F830[经济管理—金融学]