【摘要】 分红型人寿保险保单可以视作由三部分构成:固定收益债券、分红权和退保权。退保权的存在使保单具有美式期权的性质,给定价带来困难。本文用最小二乘蒙特卡罗模拟,建立了计算保单价值的模型,给出了模拟计算结果。更多还原

【Abstract】 Participating life insurance can be decomposed into three parts:a fixed-income bond,a bonus option and a surrender option.The surrender,which makes the contract into an American option right,brings difficult on its pricing.A pricing model is made under least square Monte Carlo simulation,and the simulation results are given.更多还原