随机利率下含退保期权的投资连接寿险模型

A unit-linked life insurance model for embedding a surrender option under stochastic interest rate

建立了一个生死两全保险模型 ,主要考虑在随机利率环境下 ,对一类允许提前退保的投资连接保单进行研究 ,把分红期权、退保期权统一在其中 .从而保单的价值可分解为三个组成部分 :基本保险、分红期权和退保期权的价值 ,并且得出了各部分价值的计算公式 ,投保人可以根据自己的风险承受能力选择所交保费的投资比例 .模型所涉及的情况与实际较为相符 ,对解决保险公司合理收取保费、进行保险赔付和管理风险都具有理论意义和实际应用价值 .

A life insurance endowment policy model was given. The model including a participation option and a surrender option under stochastic interest rate was considered. The price of the policy was split into the value of three components: the basic contract, the participation option, and the surrender option. Furthermore, the calculating fomular of the value of each component is provided. According to this risk tolerance, the insured could choose the invest rate. The model is more correspond with practice and has important theoretical significance and practical application value for the insurance companies in solving proper premium, claim size and managing risk.