分紅保單公平定價之研究

Fair Valuation of Life Insurance Liabilities for Participating Policy

李書儀(Shu-Yi Lee)

指導教授 ： 張焯然

國立清華大學/科技管理學院/科技管理研究所/碩士(2008年)

摘要

In this study, a fair valuation model for an insurance contract, participating policy, is developed and validated by corporation with Monte Carlo simulation. This kind of insurance contract is evaluated in accordance with four elements: guaranteed interest, bonus policy, surrender option, and default factor. The framework of this four-element participating policy takes into account the policyholder’s desire to early exercise and the insurance company’s insolvency risks. The policyholder early exercises the contract only if the value of early-exercise is larger than that of hold-to-maturity. The default factor is also considered by setting a barrier function for the evaluation. By comparing the dynamic of the target asset and the barrier function, we decide whether the insurance company defaults or not, is decided. The valuation process of this contract is path-dependent; thereby a dynamic programming for pricing American options is used to perform Monte Carlo simulations which use a least-square approach developed by Longstaff and Schwartz in 2001. The simulation results show that the value of the improved contract, which considers both the surrender option and the default risks, is higher than that of the contract that only considers surrender option. However, the comparison between the values of improved contract and the ordinary one depends on the different setting parameters.

關鍵字

資產負債管理 ； 分紅保單 ； 提早執行選擇權 ； 違約風險 ； 蒙地卡羅模擬法

並列摘要

HASH(0x1cbffc60)

並列關鍵字

asset-liability management ； participating policy ； surrender option ； default risk ； Monte Carlo simulation

參考文獻

楊曉文、黃泓志、黃麗容，2003，□投資策略、清償能力與分紅保單公平定價之研究□，臺大管理論叢，17卷1期：頁91-112

Bacinello, A.R., 2001, Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Guaranteed, Astin Bulletin, Vol. 31, pp. 275-297.

Bacinello, A.R., 2003, Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option, Journal of Risk and Insurance, Vol. 70, No. 3, pp. 461-487.

Ballotta, L., S. Haberman and N. Wang, 2006, Guarantees in With-profit and United With-profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Defult Option, Journal of Risk and Insurance, Vol. 73, No. 1, pp. 97-121.

Brandimarte, P., 2002, Numerical Methods in Finance: A MATLAB-Based Introduction, Wiley, NY