一个具有保底投资收益的投资连接寿险定价模型

针对某些投资连接寿险产品既存在最低死亡赔付又存在最低投资回报的情形,提出了一个具有保底投资收益的投资连接寿险产品(即具有双重担保收益)的定价模型,并给出了数值算例.研究结果表明,这类产品在定价时可以看作由一个具有保底收益的投资基金与一个基于死亡赔付的欧式熊市价差期权组合(EBSOP)构成,该期权组合的价值通常不容忽视;当最低死亡赔付额小于保底投资收益时,欧式熊市价差期权组合为虚值,保单可视为一个可提前执行的有保底收益的投资基金.

A Pricing Model of Equity-linked Life Insurance with Investment Return Guarantees

This paper presents a new pricing model for equity-linked life insurance with two kinds of guarantees: death benefit guarantees and investment return guarantees.Some numerical results are given.The results show that such kind of contract is composed with a guaranteed investment fund and a European bear spreads option package(EBSOP) whose value can not be ignored.The package is out-of-money only when the death benefit guarantee is smaller than invest return guarantee.On such condition,the contract can be treated as an early exercisable fund with interest rate guarantees.