标题: 分期缴费寿险保单解约权之分析与评价
The Analysis and Valuation of Surrender Option for Life Insurance Policy with Installment Premium
作者: 陈勤明
林君瀌
Chin-Ming Chen
Jun-Biao Lin
Institute of Business and Management
经营管理研究所
关键字: 逆选择;解约选择权;忠诚度;Adverse Selection;Surrender Option;Loyalty
公开日期: 1-七月-2014
摘要: 近年来,投资型保险商品或分红保单渐成主流,然而,全球金融风暴后,传统寿险保单又开始受到市场青睐,不同的是,现行保单之预定利率已不若以往水准。这样的金融环境与保户投保态度的改变,亦衍生出另一值得深思议题-若市场利率再度走高,寿险公司固然可避免利差损,但势必面对保单存续之逆选择问题。有鉴于此逆选择问题,本研究将着眼于寿险保单解约权之评价与分析,以反映此问题之隐含成本。相较于先前解约选择权之研究,本文以过去文献较少探讨之分期缴费不分红寿险保单为对象,透过精算方法解析此保单解约选择权之收益型态。此外,我们同时加入利率波动、被保险人死亡率变化及保单忠诚度的考量,采用(Longstaff and Schwartz, 2001)之最小平方蒙地卡法来评价保单解约选择权价值。本研究发现,受限于解约费用率不得超过25%之法令规范,保单解约权的确形成寿险公司成本负担,而提高解约费用率或加深保单忠诚度均可相当程度降低此成本。本文评价结果提供了这些观察的量化分析,此分析则可作为寿险公司保单售后解约风险管控之重要资讯。
In recent years, investment-linked insurance policies have gradually become mainstream and are receiving market attention. This change may be due to the global financial crisis. What is worthy of note is that the scheduled interest rates of current policies are lower than they were in the past. This sort of financial environment, for example, the global financial crisis along with changes in the attitudes of those purchasing insurance, results in another question worthy of deep consideration - if market interest rates rise once again, will a wave of surrender be seen within traditional life insurance policies under low scheduled interest rates? This research will focus on the analysis and valuation of surrender option in life insurance policy. To have a more general comparison, we also consider both the variability of interest rates and the insured's mortality heterogeneity since the surrender option value dramatically changes following the fluctuations of interest rate and the insured's mortality heterogeneity. In addition, the decision of clients to surrender a policy is also entangled with their loyalty toward the insurer. The results show that interest rate and the insured's mortality affect the surrender option and this option increases the cost burden of the insurance companies. However, by increasing the cost of rescinding contracts or increasing customers' loyalty to their insurance companies can reduce the cost burden of companies.
URI: http://hdl.handle.net/11536/107935
ISSN: 1023-9863
期刊: 管理与系统
Journal of Management and Systems
Volume: 21
Issue: 3
起始页: 517
结束页: 532
显示于类别:Journal of Management and System


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