| 嵌入退保期权的寿险保单定价分析 |
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| 引用本文： | 房海滨,陈立文.嵌入退保期权的寿险保单定价分析[J].北京理工大学学报(社会科学版),2006,8(5):85-87. |
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| 作者姓名： | 房海滨 陈立文 |
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| 作者单位： | 1.天津大学管理学院,天津300130 |
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| 摘 要： | 利用保险精算和金融工程理论对含有退保期权的寿险保单价值进行了分解,发现退保期权的行使与否和某一特定保单的若干参数相关,这种关系随着保单参数值的变化而变化。同时否定了两个常见的,表面看起来很有道理的结论。最后运用无套利分析方法对保单退保期权进行了定价。
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| 关 键 词： | 退保期权 保单定价 无套利分析 保险精算 |
| 文章编号： | 1009-3370(2006)05-0085-05 |
| 收稿时间： | 2005/8/29 0:00:00 |
| 修稿时间： | 2005年8月29日 |
Valuation of Life Insurance Policies with Embedded Surrender Option |
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| FANG Hai-bin and CHEN Li-wen.Valuation of Life Insurance Policies with Embedded Surrender Option[J].Journal of Beijing Institute of Technology(Social Sciences Edition),2006,8(5):85-87. |
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| Authors: | FANG Hai-bin and CHEN Li-wen |
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| Institution: | 1.School of Management Tianjin University,Tianjin 3000722.School of Management Hebei Industrial University,Tianjin 300130 |
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| Abstract: | Based on the insurance actuarial theory and the classic financial engineering theory,the paper analyses the value of life insurance policies with embedded surrender option,and finds out that whether the surrender option is exercised is related to several factors in a certain policy,in which the relation varies with the change of factors' value.Meanwhile two seemingly reasonable conclusions are denied.Finally the valuation of the insurance surrender option is made with no-arbitrage theory. |
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| Keywords: | surrender option insurance policy pricing no-arbitrage analysis actuarial theory |
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