Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework
Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework
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DOI：
10.2139/ssrn.248110
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发表时间：
2001-05
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影响因子：
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通讯作者：
Anders Grosen;Peter Løchte Jørgensen
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文献类型：
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作者：
Anders Grosen;Peter Løchte Jørgensen
本文采用未定权益法对寿险公司的权益和负债进行市场评估。一个模型提出，明确考虑到以下几点：（一）人寿保险合同（LIC）的持有人对公司的资产有第一个要求，而股东有有限的责任;（二）利率保证是LIC的共同要素;和（三）LIC根据所谓的贡献原则有权获得公平的份额的任何投资盈余。此外，该模型还建立了一个以干预规则为形式的监管机制。这种机制被证明是显着降低已发行的合同的破产风险，它意味着对公司的资产的各种索赔变得更加奇异，并获得障碍期权属性。然而，封闭的估值公式推导。最后，一些有代表性的数值例子说明了该模型可以用来建立一套初始公平的合同，并确定合同成立后的市场价值。
This article takes a contingent claim approach to the market valuation of equity and liabilities in life insurance companies. A model is presented that explicitly takes into account the following: (i) the holders of life insurance contracts (LICs) have the first claim on the company's assets, whereas equity holders have limited liability; (ii) interest rate guarantees are common elements of LICs; and (iii) LICs according to the so-called contribution principle are entitled to receive a fair share of any investment surplus. Furthermore, a regulatory mechanism in the form of an intervention rule is built into the model. This mechanism is shown to significantly reduce the insolvency risk of the issued contracts, and it implies that the various claims on the company's assets become more exotic and obtain barrier option properties. Closed valuation formulas are nevertheless derived. Finally, some representative numerical examples illustrate how the model can be used to establish the set of initially fair contracts and to determine the market values of contracts after their inception.