嵌入退保期权的寿险保单定价分析

Valuation of Life Insurance Policies with Embedded Surrender Option

利用保险精算和金融工程理论对含有退保期权的寿险保单价值进行了分解,发现退保期权的行使与否和某一特定保单的若干参数相关,这种关系随着保单参数值的变化而变化。同时否定了两个常见的,表面看起来很有道理的结论。最后运用无套利分析方法对保单退保期权进行了定价。

Based on the insurance actuarial theory and the classic financial engineering theory, the paper analyses the value of life insurance policies with embedded surrender option, and finds out that whether the surrender option is exercised is related to several .factors in a certain policy, in which the relation varies with the change of factors＇ value. Meanwhile two seemingly reasonable conclusions are denied. Finally the valuation of the insurance surrender option is made with noarbitrage theory.