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首页> 外文期刊>International Journal of Innovative Computing Information and Control >PRICING AND INSOLVENCY RISK EVALUATING OF EMBEDDED OPTIONS IN UNIVERSAL INSURANCE CONSIDERING MORTALITY RATE
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PRICING AND INSOLVENCY RISK EVALUATING OF EMBEDDED OPTIONS IN UNIVERSAL INSURANCE CONSIDERING MORTALITY RATE

机译：考虑死亡率的普遍保险中嵌入式期权的定价和破产风险评估

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摘要

Focusing on universal life insurance, this paper calculates level premium and constructs the basic model of assets and liabilities considering mortality rate. The model contains interest rate guarantees, surrender options, and mortality rate to fully reflect the reality of prevailing insurance policies. Based on the pricing of universal life insurance, the paper also establishes the insolvency model. Finally, Monte Carlo simulations are conducted to provide numerical results and sensitivity analysis. In order to show the advantages of our model against those without consideration of mortality, we also conducted a mortality scenario test by introducing a mortality modifying factor. Results show that the two embedded derivatives, interest rate guarantee and cancellable option, account for a large proportion in universal insurance's value. This finding may suggest the necessity to consider the interest rate guarantee and cancellable option while assessing the value of the universal insurance, in order to correctly evaluate the solvency of the insurance companies. Results also show that the mortality effect is significant on both embedded option and insolvency risk, which indicates a great necessity of considering mortality in valuation of universal insurance.
机译：本文以全民寿险为研究对象，计算了水平保费，并建立了考虑死亡率的资产负债基本模型。该模型包含利率担保，退保选择权和死亡率，以充分反映现行保险政策的现实。在万能寿险定价基础上，建立了破产模型。最后，进行蒙特卡洛模拟以提供数值结果和灵敏度分析。为了显示我们的模型相对于不考虑死亡率的模型的优势，我们还通过引入死亡率修正因子进行了死亡率情景测试。结果表明，利率担保和可撤销期权这两种嵌入式衍生工具在全能保险的价值中占很大比例。这一发现可能表明在评估全能保险的价值时必须考虑利率担保和可撤销选择权，以正确评估保险公司的偿付能力。结果还表明，死亡率对内含期权和破产风险均具有显着影响，这表明在万能保险评估中必须考虑死亡率。

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