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

本建议涉及带有退保担保的人寿保险合同过早终止（也称为退保或失效）及其对其公平市场价值的影响。除了建模相关的金融和保险风险，重点放在投保人的退保行为。投保人的特点是他能接触到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契约价值，必须确定投保人的最佳退保策略。在这种情况下，投降不可能在任何时候发生，而只能在特定的随机时间点发生（在随机干预时间最优停止）。由于各种原因，这种有前途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，造型变得更加苛刻。另一方面，估算失效率和公平合同价值的数值方法需要更复杂的技术。建议项目的中心点是一个现实的，因此适当的投降模型，以及相应的算法的发展，以使模型在实践中适用。即将在不久的将来实施的相关监管Solvency II将失效风险（在给定的背景下：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这种风险。此外，《偿付能力II》要求保险公司进行相关的压力测试。因此，失效风险更精确建模的新结果和相关数值方法的发展，提高了该领域风险度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.