Valuation of Surrender Option in Life Insurance

[[abstract]]本文探討傳統壽險保單之解約選擇權價值。保單解約選擇權可視為美式賣權，本研究是採用Longstaff and Schwartz (2001)最小平方蒙地卡羅法之模型，並在CIR隨機利率模型下模擬保單的解約選擇權價值，模型中加入瞬間死力及保戶對保單忠誠度之變數，討論利率走勢對保單的解約選擇權價格之影響。 本文發現利率的波動會影響解約選擇權價格，當未來預期利率上升時，解約選擇權之價值亦隨之上升；反之，解約選擇權價值則下降。期望本評價模式可作為保險公司日後評估保單發單成本或避險策略之考量。[[abstract]]This study discusses the surrender option value of traditional life insurance policy Policyholder surrender option can be regarded as the American put option This study is the use of Longstaff and Schwartz (2001) least-squares Monte Carlo model and the CIR stochastic interest rate model to simulate the value of the policy surrender option This model was added to the instant one's strength and policy loyalty to discuss the impact of movements in interest rates on the policy surrender option price The study finds that fluctuations in interest rates affect the surrender option value When the expected future increases in interest rates the surrender option value will increase When the expected future interest rates fall the surrender option value will decline I hope that this evaluation model can be used as insurance companies assess policyholders billed costs or hedging strategy considerations in the futur