考量破產風險後分紅保單在保險公司的負債評價

Abstract

本篇論文分析了一個很受歡迎，內含許多鑲嵌選擇權的保險商品 – 分紅保單。我們根據保戶的存款準備金用蒙地卡羅法去模擬未來可能的現金流去應用在一個分紅的機制上面。合約可以被拆解為合約本身、分紅選擇權、解約選擇權和違約選擇權。我們的目標是希望可以讓這些內在鑲嵌的選擇權可以被公平的評價在保險公司負債裡面。值得注意的是我們內加了一個違約選擇權於保單公平價值評價內，然而該違約選擇權其實侵蝕保戶的保單價值，應該要受到監管機關的限制。此外，本篇論文引用較貼切實際的隨機資產過程去合乎真實世界的情形。

In this research, we analyze the fair value of popular insurance product – participating contract (or with-profit contracts) which is embedded with some options. We use a credit mechanism by means of Monte Carlo Simulation to generate the possible cash flow of policyholder base on benefit reserve. The contract can be decomposed to policy claim, bonus option, surrender option and default option. The purpose of this paper is to make them fair presented in the liabilities category. It is noticeable that we add additional default option to the contract valuation framework. However, the default option we added to the contract erodes the contract value which should be restricted by regulatory authorities. Moreover, we use a more practical stochastic asset process to fit the real world situation.