PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES
PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES
复制标题
具有利率保证的分红保单的定价
DOI：
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
Y. Kwok
中科院分区：
文献类型：
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作者：
C. Chu;Y. Kwok
本文建立了具有利率保证和违约风险的参与式保单定价的未定权益模型。这些保单的特点是由保险公司和保单持有人分享投资组合的利润。本集团采用若干准备金分派机制，定期向保单持有人发放按或高于若干指定保证利率计息的利息。除复归储备分派外，倘终止盈余为正数，亦会向保单持有人支付终止红利。然而，保险公司可能在到期时违约，保单持有人只能获得剩余资产。在不考虑市场摩擦、死亡率风险和退保选择权的情况下，在利率信用机制的一定假设条件下，利用摄动方法得到了定价模型的解析近似解。我们还发展了有效的有限差分算法的数值解的未定权益模型。这些参与政策的定价行为相对于定价模型中的各种参数进行检查。
We construct the contingent claims models that price participating policies with rate guarantees and default risk. These policies are characterized by the sharing of profits from an investment portfolio between the insurer and the policyholders. A certain reserve distribution mechanism is employed to credit interest at or above certain specified guaranteed rate periodically to the policyholders. Besides the reversionary reserve distribution, terminal bonus is also paid to the policyholders if the terminal surplus is positive. However, the insurer may default at maturity and the policyholders can only receive the residual assets. By neglecting market frictions, mortality risk and surrender option, and under certain assumptions on the interest rate crediting mechanism, we are able to find analytic approximation solution to the pricing model using perturbation techniques. We also develop effective finite difference algorithms for the numerical solution of the contingent claims models. Pricing behaviors of these participating policies with respect to various parameters in the pricing models are examined.