新精算规定下的万能险公平价值问题分析

The Financial Value of the Universal Life Insurance in the New Actuarial Provisions

基于万能险的金融风险,给出了个人账户的价值模型,运用实物期权的基本思想与方法,在连续死亡效力情形下建立了万能险保单的公平价值模型,得到了公平定价的封闭形式解,实证分析表明,新精算规定的收费是公平的,模型结果与实际相符合。

This paper describes the financial risk of universal life insurance and gives the valuation model of the personal account value. By use of the method of the real options, the fair pricing framework is set up in which the death force is continuous. This paper also deduces the closed -form solution. The empirical analysis shows that the charges in the new actuarial provisions are fair and thepricing model is consistent with the fact.