Valuation of Incremental Option in Life Insurance

[[abstract]]保險契約賦予保戶契約約定之保障外，尚有額外附加的權利，如：解除契約、減少保額、增加保額、契約轉換權等，國內外文獻較多是探討解約選擇權評價，但其實減少保額與增加保額選擇權同屬保額變更的權利，增額選擇權是保戶購買保單擁有契約原有保障之外，額外得到可選擇是否增加保險金額的權益。本研究利用最小平方蒙地卡羅模擬法加入隨機利率與隨機死力，求算增額選擇權價值。在保戶額外得到之有價增額選擇權同時，保險公司相對存在執行後可能帶來的道德風險與成本。最後得到之結論為長期利率水準與增額選擇權為反向變動關係，當利率上升時，增額選擇權價值下降。[[abstract]]Insurance contract provided the policyholder not only the safeguards by Contractually but also extra additional rights For example：surrender insurance reduce insured amount increase insured amount contract conversion Many domestic and foreign literatures was to explore the option Surrender evaluated; in fact reduce insured amount and increase insured amount are belongs to change insured amount right Incremental option is the policyholder purchase insurance contract which have original safeguards and receive an additional right to choice whether to increase insured amount In this study used Least Squares Monte Carlo Simulation added stochastic interest rates and stochastic strength to calculate incremental option value When policyholder obtained extra valuable incremental option at the same time insurers relative might have moral hazard and cost after executing The finally conclusion obtained the change between long-term interest rates level and incremental option value which was reverse When interest rates rise the incremental option value would decreas