【摘要】 将人寿保险产品中的退保权视作美式期权,提出了一个保单退保率分布的理论模型,用最小二乘蒙特卡罗模拟计算了分红型人寿保险在合同期内各年的退保率.研究表明:市场无风险利率、保险公司担保利率、资产波动率和保险公司盈余分配比例对退保率有影响;分红保险在到期日前会出现一个退保的高峰,在峰值过后,退保率下降并保持一段平缓的水平,直至到期日前的2~3年左右,退保率逐渐上升.更多还原

【Abstract】 Dealing the surrender as an American option,this paper presents a theoretical model on the surrender rates distribution of participating life insurance,and calculates annual surrender rate using least square Monte Carlo simulation.The results show that market riskless interest rate,insurer guarantee return rate,asset volatility and the participating ratio will affect surrender rates,and there is a surrender peak before maturity,then,the surrender rates decrease and keep low,till 2~3 years before the maturity they increase gradually.更多还原