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

目前的建议涉及提前终止有退保保证的人寿保险合同，也称为退保或失效，及其对其公平市场价值的影响。除了对相关的金融和保险风险进行建模外，还将重点放在投保人的退保行为上。投保人的特点是能够获得金融市场信息，并有能力评估这些信息。为了预测退保行为并计算公平的合同价值，必须确定投保人可能的最佳退保策略。在这种情况下，投降不能在任何时候发生，而只能在特定的随机时间点发生(在随机干预时间最佳停止)。由于不同的原因，这种有希望的方法在文献中没有得到充分的报道。一方面，在这种情况下，建模变得更加苛刻。另一方面，估算拖欠率和公平合同价值的数字方法需要更复杂的技术。拟议项目的中心点是建立一个切合实际的、因此是适当的自首模型，并制定相应的算法，以便使该模型在实践中适用。将在不久的将来实施的有关偿付能力第二号条例将过失风险(在特定情况下为退保风险)确定为一个主要风险因素，并敦促保险公司对这一风险进行适当的建模和量化。此外，偿付能力II要求保险公司进行相关的压力测试。因此，更准确地模拟失误风险的新结果以及相关数字方法的发展提高了这一部分的风险计量和风险管理的整体质量。

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.