中国万能寿险投资账户最低收益率保证与退保期权的定价研究

本文利用风险中性定价方法, 不考虑死亡因素, 在利率服从 Vasicek 均值复归模型, 标底资产价格服从几何布朗运动的假设下, 计算万能险万能账户中最低保证收益率期权的公允价值. 考虑保单持有人可以退保, 文章利用最小二乘蒙特卡罗方法计算内嵌退保期权的公允价值. 此外, 文章在给定的定价框架内, 对比了固定利率假设与随机利率假设下内嵌期权公允价值对初始利率与均衡利率变化的敏感度, 计算其公允价值对资产波动率的变化情况, 并初步讨论了最小化结算利率波动的平滑机制选择办法.

Valuation of the guaranteed interest rate and the surrender options embedded in universal policies: The Chinese case

This paper attempts to valuate these policies using the risk-neutral pricing method of financial mathematics. The framework in which the fair value of these policies is priced in a stochastic interest rate environment is presented. We analyze the guaranteed interest rate option and the surrender option separately. The values of embedded options are derived using the least square Monte Carlo approach. Using the calibrated parameters, we find out that the stochastic interest rate assumption affects the valuation considerably in comparison to the constant interest rate. Additionally, the volatility of assets and the smoothing mechanism are important for valuing the policyholders' claims.