权益分类	功能权益	普通用户	{{item.name}}会员
{{category.name}}	{{benefitItem.name}}

Assessing Lapse Risk and Fair Market Value of Life Insurance Contracts with Surrender Guarantees

评估具有退保保证的人寿保险合同的失效风险和公平市场价值

基本信息

批准号：
282079427
负责人：
Professor Dr. Alexander Szimayer
金额：
--
依托单位：
Professur für Finanzwirtschaft, insbesondere Derivate
依托单位国家：
德国
项目类别：
Research Grants
财政年份：
2015
资助国家：
德国
起止时间：
2014-12-31 至 2018-12-31
项目状态：
已结题

来源：
https://gepris.dfg.de/gepris/projekt/282079427?language=en
关键词：
Assessing Lapse Risk Fair Market

项目摘要

The present proposal addresses the premature ending of life insurance contracts with surrender guarantees, also known as surrender or lapsing, and its effect on their fair market value. In addition to modelling the relevant financial and insurance risks, the focus is placed on the policyholder's surrender behavior. The policyholder is characterized by his access to financial market information and his ability to evaluate this information. In order to predict surrender behavior and to compute the fair contract value, the policyholder's best possible surrender strategy has to be identified. In this setting, surrender cannot occur at any time, but only at specific random points in time (optimal stopping at random intervention times). Due to different reasons, this promising method has not been adequately covered in literature. On the one hand, modelling becomes more demanding in this setting. On the other hand, numerical methods for estimating lapse rates and fair contract values require more complex techniques. The central point of the proposed project is a realistic and hence adequate modelling of surrender, as well as the development of a respective algorithm in order to make the model applicable in practice. The relevant regulation Solvency II, which is to be implemented in the near future, identifies lapse risk (in the given context: surrender risk) as a major risk factor and urges insurance companies to adequately model and quantify this risk. Further, Solvency II obliges insurance companies to perform related stress tests. Therefore, new results for more accurate modelling of lapse risk and the development of related numerical methods enhance the overall quality of risk measurement and risk management in this segment.

本提案讨论了带有退保保证的人寿保险合同的提前终止（也称为退保或失效）及其对其公平市场价值的影响。除了对相关金融和保险风险进行建模外，重点还在于投保人的退保行为。投保人的特征在于他获取金融市场信息的能力以及评估这些信息的能力。为了预测退保行为并计算公平合同价值，必须确定保单持有人的最佳退保策略。在这种情况下，投降不能在任何时间发生，而只能在特定的随机时间点发生（最好在随机干预时间停止）。由于不同的原因，这种有前景的方法尚未在文献中得到充分的报道。一方面，在这种情况下建模变得更加困难。另一方面，估计失效率和公平合同价值的数值方法需要更复杂的技术。拟议项目的中心点是对投降进行现实且充分的建模，以及开发相应的算法以使模型在实践中适用。即将实施的相关法规 Solvency II 将失效风险（在特定情况下：退保风险）确定为主要风险因素，并敦促保险公司充分建模和量化该风险。此外，Solvency II 要求保险公司进行相关压力测试。因此，更准确的失误风险建模的新结果以及相关数值方法的开发提高了该领域风险测量和风险管理的整体质量。