Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies
Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies
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DOI：
10.2139/ssrn.156488
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发表时间：
1999-03
期刊：
影响因子：
--
通讯作者：
Anders Grosen;Peter Løchte Jørgensen
中科院分区：
文献类型：
--
作者：
Anders Grosen;Peter Løchte Jørgensen
本文分析了一种最常见的寿险产品--所谓的分红(或有利润)保单。这种类型的合同与单位挂钩(UL)产品不同，因为根据某种机制定期将利息计入保单，以平滑人寿保险公司(LIC)资产的过去回报。与UL产品的情况一样，参与保单通常配有利率担保，并可能还具有在到期前将保单退回(回售)给LIC的选择权。研究表明，典型的参保保单可以分解为无风险债券要素、奖金期权和退保期权。构建了一个动态模型，其中这些要素可以通过未定权益分析分别进行估值。数值分析了不同的奖金政策和不同水平的保证利率的影响。我们发现，参与保单的价值对奖金政策高度敏感，退保期权可能相当有价值，如果在奖金准备金低而承诺回报高的情况下盈利机会恶化，LIC的偿付能力可能很快就会受到威胁。©2000 Elsevier Science B.V.保留所有权利。
The paper analyzes one of the most common life insurance products — the so-called participating (or with profits) policy. This type of contract stands in contrast to unit-linked (UL) products in that interest is credited to the policy periodically according to some mechanism which smoothes past returns on the life insurance company’s (LIC) assets. As is the case for UL products, the participating policies are typically equipped with an interest rate guarantee and possibly also an option to surrender (sell-back) the policy to the LIC before maturity. The paper shows that the typical participating policy can be decomposed into a risk free bond element, a bonus option, and a surrender option. A dynamic model is constructed in which these elements can be valued separately using contingent claims analysis. The impact of various bonus policies and various levels of the guaranteed interest rate is analyzed numerically. We find that values of participating policies are highly sensitive to the bonus policy, that surrender options can be quite valuable, and that LIC solvency can be quickly jeopardized if earning opportunities deteriorate in a situation where bonus reserves are low and promised returns are high. ©2000 Elsevier Science B.V. All rights reserved.