The Impact of Policy surrender option on Insurance Companies

[[abstract]]隨著保險商品的推陳出新，保險契約中包含選擇權評價之議題亦逐漸受到討論與重視，主因為現行市面上之保險商品，要保人皆可於保險契約期間提出解約的申請，此觀念與選擇權的概念一致，再者，實務上保險公司透過精算而評價出的保單成本當中，並沒有將保戶可能於契約期間解約的狀況列入考慮，遂本文主要探討若賦予保戶解約選擇權對保險公司的衝擊，是否一定為公司的成本；而在評價保單現值的過程中，市場利率波動為一重要之因素，考量到市場利率波動有均數復歸的現象，所以利率期間結構模型的建立本文採用Cox Ingersoll and Ross (1985) 提出的均數復歸過程(以下以CIR簡稱之)來估計市場利率，此外，由於近年來金融市場遭受不少重大事件，造成市場利率出現於短期內發生大幅變動的現象，本文為了考量市場利率有此特性，遂採用Baz and Das (1996)的跳躍擴散利率模型(以下以CIR-JUMP model簡稱之)所產生的隨機利率過程與CIR模型來作為計算壽險躉繳保費的基礎，並以此比較當市場利率發生跳空現象時，對保險公司來說，評價保單現值的成本時是否與市場利率符合CIR模型時有不同的影響。[[abstract]]With new insurance products increased evaluation of options on insurance policy has become more and more important The main reason is that insured have right to surrender policies in the effective period of the contract but insurance companies calculate the insurance cost without considering the possibility that insured may surrender Therefore this paper discusses whether the impact of policy surrender option takes account into the insurance costs on insurance companies Moreover market interest rate is an important factor in evaluation of present value of policies process Considering interest volatility is observed to be mean reverting we use mean-reverting process (Cox Ingersoll and Ross (1985)) to estimate the market interest rate In addition we also consider CIR-JUMP (Baz and Das (1996)) to calculate the traditional life insurance polic