增额终身寿险内嵌退保期权风险研究

A Research on the Risk of Embedded Surrender Options under Increasing Death Benefit Whole of Life Insurance

市场利率持续下行,后疫情时代居民预防性储蓄意愿变强,增额终身寿险因其长期保证收益、灵活领取等特征,迅速成为市场追捧对象。另一方面,保险公司近年来在业绩增长和销售队伍维持方面承受一定压力,增额终身寿险易于销售,且在当前价值评估体系下有着较高的新单价值,所以从供给角度保险公司也更倾向推动该产品销售。然而,增额终身寿险有两大风险,一是利率下行导致的利差损风险,二是市场利率波动引发的退保风险。本文聚焦增额终身寿险内嵌退保期权特征,将市场利率上行引发的退保类比为美式看跌期权的行权行为,通过美式期权定价方法,量化增额终身寿险内嵌退保期权成本,并讨论如何在产品新单价值中反映其风险。研究发现,内嵌退保期权对典型增额终身寿险产品的新单价值影响显著。本文建议:险企在制定产品策略时应充分考虑内嵌期权的风险特征,在新产品开发时,可考虑增加退保现金价值的市值调整权,降低面临的不可控风险;对于已经销售大量增额终身寿险保单且财务状况或偿付能力严重恶化的险企,监管也可考虑研究制定对存量保单退保现金价值进行市值调整的管理制度。

Since the interest rate keeps on declining,as well as consumers'precautionary saving motives get stronger after the pandemic,increasing death benefit whole of life insurance is increasingly sought after due to its long term guaranteed benefit and flexible payout features.On the other hand,Chinese life insurance companies are experiencing pressures regarding business growth and shrinking size of agent force,and the current valuation method produces high value of new business(VoNB)of increasing whole life insurance.There fore,on the supply side,insurance companies promote the sales of increasing whole life insurance proactively.This article points out that there are two main risks of increasing whole life insurance,one is the negative interest spread risk,the other is the surrender risk due to volatile market interest rates.This article focuses on the feature of embedded surrender option in increasing whole of life,treats the surrender option as an American put option,quantifies the cost of it,and discusses the way to evaluate its impact on insurance policies'VoNB.Based on the study,the embedded surrender option has significant impact on VoNB.The article suggests insurers to carefully investigate the impact of embedded surrender option when it develops product strategy.Insurers may consider including a market value adjustment in determining surrender values of new products to reduce uncontrollable risks.For insurers who have already sold a large number of increasing whole of life policies and are experiencing financial or solvency distress,regulators may also consider formulating rules of permitting utilization of a market value adjustment in determining surrender values of existing policies.