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    题名: 隨機利率下分紅保單解約選擇權之評價分析
    Fair Valuation of Participating Insurance Policies with Surrender Options
    作者: 張智凱
    贡献者: 廖四郎
    余清祥


    張智凱
    关键词: 分紅選擇權
    解約選擇權
    CRR 模型
    公平價格
    Participating option
    Surrender option
    CRR model
    Fair value
    日期: 2005
    上传时间: 2009-09-17 18:47:53 (UTC+8)
    摘要: 本文探討評價可解約分紅保單（Participating Policy）。該保單隱含二個重要的選擇權：分紅選擇權與解約選擇權。分紅選擇權為一歐式買權，解約選擇權可視為美式賣權。Bacinello（2003）使用CRR模型，計算解約選擇權的近似解，然而，Bacinello（2003）假設無風險利率為常數。本文主要探討如何利用無套利評價法，在隨機利率模型下，發展二維度之CRR模型，利用此模型，求得分紅選擇權與解約選擇權之公平價格，並討論利率的波動與長期走勢對該保單的選擇權的價格之影響。本文發現，保單之投資參考組合的波動，將對分紅選擇權的價格造成影響，而利率的波動會導致解約選擇權價格上升；當未來預期利率上升時，分紅選擇權與解約選擇權亦隨之上升。此評價模式可作為保險公司發行分紅保單與避險策略之參考。
    Bacinello (2003a) employed Cox-Ross-Rubinstein model (CRR model, 1979) to numerically calculate the fair value of a participating policy containing a surrender option. Bacinello assumed a constant rate of return on risk-free assets. However, this study proposes a two-dimensional CRR model in a stochastic interest rate model as a means of providing a numerical method for contract pricing. The two-dimensional CRR model converges rapidly and achieves similar results to Monte Carlo simulation. Two-dimensional CRR models are used to analyze the importance and sensitivity of a stochastic interest rate model for the policy. Zero coupon bond volatility is an essential parameter in the surrender option, and reference portfolio volatility is important for pricing the participating option. The participating and surrender options are more valuable given upwards trending interest rates than constant or downwards trending rates.
    參考文獻: Albizzati, M.-O., and Geman, H. (1994). Interest rate management and valuation of the surrender option in life insurance policies. Journal of Risk and Insurance, 61, 616-637.
    Bacinello, A. R. (2001). Fair pricing of life insurance participating policies with a minimum interest rate guaranteed. Astin Bulletin, 31, 275-297.
    Bacinello, A. R. (2003a). Fair valuation of a guaranteed life insurance participating contract embedding a surrender option. Journal of Risk and Insurance, 70, 461-487.
    Bacinello, A. R. (2003b). Pricing guaranteed life insurance participating policies with annual premiums and surrender option. North American Actuarial Journal, 7, 1-17.
    Bernard, C., Le Courtois, O., and Quittard-Pinon, F. (2005). Market value of life insurance contracts under stochastic interest rates and default risk. Insurance: Mathematics and Economics, 36, 499-516.
    Black, F., and Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-54.
    Bowers, N. L., Gerber, H. U., Hickman, J. C., Jones, D. A., and Nesbitt, C. J. (1986). Actuarial mathematics. Society of Actuaries.
    Boyle, P. P., and Schwartz, E. S. (1977). Equilibrium prices of guarantees under equity-linked contracts. Journal Risk and Insurance, 44, 639-60.
    Brennan, M. J., and Schwartz, E. S. (1976). The pricing of equity-Linked life insurance policies with an asset value Guarantee. Journal of Financial Economics, 3, 195-213.
    Brennan, M. J., and Schwartz, E. S. (1979a). Alternative investment strategies for the issues of equity-linked life insurance policies with an asset value guarantee. Journal of Business, 52, 63-93.
    Brennan, M. J., and Schwartz, E. S. (1979b). Pricing and investment strategies for Equity-linked life insurance policies," Philadelpha: The S.S. Huebner Foundation for Insurance Education, Wharton School, University of Pennsylvania.
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    Jensen, B., Jørgensen, P., and Grosen, A. (2001). A finite difference approach to the valuation of path dependent life insurance liabilities. The Geneva Papers on Risk and Insurance Theory, 26, 57-84.
    Jørgensen, P. L., (2004). On Accounting Standards and Fair Valuation of Life Insurance and Pension Liabilities. Scand. Actuarial Journal 5, 372-394.
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    描述: 博士
    國立政治大學
    統計研究所
    90354502
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0903545021
    数据类型: thesis
    显示于类别:[統計學系] 學位論文

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