基于一致性原则的偿二代TVOG风险因子校准

The Risk Calibration of TVOG in “C-ROSS”under the Consistency Principle

论文基于期权定价法和最小二乘蒙特卡罗模拟法计算分红保险、万能险隐含的退保权和保证收益率的价值(TVOG)。研究发现,我国试行的偿二代规则中TVOG因子偏低,存在风险资本金不足的风险。另外,TVOG因子随保证收益率和合同期限的增加而不断增加,保证收益率较低时,保单隐含的退保权价值较大,随着保证收益率的增加,隐含的退保权的价值不断降低,而收益保证的价值将不断增加。

This Paper intended to evaluate the Time Value of Options and Guarantees（TVOG） in participating life insurance and universal policies by using the Black-Scholes formula and the Least Square Monte Carlo Simulation method. We found out that, the TVOG risk factor in the ＂C-ROSS＂ was much lower than the TVOG computed by the Simulation, which may lead to insufficient risk-based capital. Furthermore, the TVOG factor increased along with the increase of guaranteed interest rate and the lengthening of policy term. The value of surrender option was higher when the guaranteed interest rate was low. As the guaranteed interest rate increased, the value of surrender option decreased, but the value of guarantee increased.