隐含期权定价及其对寿险保单价值、风险影响研究

发布时间：2018-03-20 04:39

本文选题：隐含期权　切入点：保单价值　出处：《山东大学》2013年博士论文　论文类型：学位论文

【摘要】：在当前精算实务中,保单定价一直采用传统精算方法。而对于保单中的各种选择权,包括保底利率、分红权、解约权、投资账户转换权、不定期保费等权利,则不进行评估,更不进入费率厘定过程。保单价值和作为保单重要构成部分的隐含期权(正是因为各种隐含期权,形成了各种不同的保单)的价值对保单持有人和保险公司始终是一只黑箱。当前,国际会计准则和我国保险会计准则都要求保险公司按照公允价值评估方法对保单及其所隐含的期权进行定价。保险公司若能将保单价值及组成部分进行合理拆分,并进行公允定价,既对保险人和保单持有人更公平,又可以像搭积木一样构成不同保单,实现产品创新,是当前金融产品定价的大势所趋。用期权定价方法对保单及其隐含价值进行定价,是目前公认的既符合公允价值定价原则又有可操作性的定价方法。相关文献已经对其进行了大量研究,亦有大量有价值的结论出现,其中最受推崇的莫过于Bacinallo(2003b)将分红保单拆分为三个组成部分,利用各部分相减得到三个隐含期权价值的方法,这也是本文模型的构思基础所在,但是Bacinallo(2003b)以及后来的相关文献均未对其选择保单的拆分方式进行解释和论证。本文认为保单用不同方式进行拆分,所得隐含期权的价值应该是不同的,即保单隐含期权价值的计算存在顺序问题；另外,还应考察当利率发生变动时,各隐含期权的价值之间的相互影响规律,才可能在保单产品设计时做出相应规避或搭配；第三,投资决策权由保险公司还是保单持有人拥有,在利益驱动下可能会出现完全相反的投资决策,以往的研究通常将保险人决定投资决策作为暗含前提,本文则提出两种投资决策方式下定价模型,并加以对比。为解决以上问题,本文设计了一个涵盖多种保单类型的模型,根据隐含期权的类型将保单分成了10种,从而可以在统一模型框架下计算各隐含期权价值,其它问题也都能在该统一模型框架下得到解决。为方便对比,本模型同时运用期权定价方法和传统精算方法进行计算,其中,传统精算方法采用利率敏感解约率模型和静态解约率模型,既对保单持有人的微观行为进行建模,又建立经验解约率宏观模型。研究结果发现：第一,不同的计算顺序对隐含期权价值和其在保单价值中的占比的影响显著,同一隐含期权在不同保单中的价值不同,显示不同隐含期权组合对其它隐含期权价值的影响确实存在；第二,不同投保年龄下,解约权和分红权在保单中的重要性不同,解约权与分红权之间存在抵换关系；第三,在有保证利率保单中,投保人投资选择权有很高的价值,不可忽视,在无保证利率保单中,投保人投资选择权价值则为负值,显示保证利率对投保人投资价值选择权的影响显著,在提供给保单持有人投资决策权或投资账户可转换权利时,应高度关注保证利率对高风险偏好的鼓励作用;第四,当完全分红时,各隐含期权价值与其在保单价值中的占比明显提高,显示投资连结保险等完全分红的保单应格外关注各隐含期权的影响；第五,在传统精算方法下,可解约保单的价值明显高于期权定价方法下的计算值,显示目前使用的传统精算方法计算的保单价值可能对保单持有人不公平；第六,传统精算方法下的两种解约率模型相比,动态解约率模型考虑了解约率的最重要影响因素—利差,因此保单价值和解约权价值比静态解约率模型的高。
[Abstract]:In the current actuarial practice, policy pricing has been using the traditional actuarial method. As for the various policy options, including the minimum interest rate, dividend rights, contract rights, investment account conversion right, not regular premium rights, not to carry out the assessment, but not into the ratemaking process. The value of the policy and policy as an important component of part of the implied option (because of a variety of options, the formation of a variety of different policy) value is always a box of policyholders and insurance companies. At present, the international accounting standards and China's insurance accounting standards require insurance companies to price policy and the implied option according to fair value evaluation method of insurance. If the company can be part of the policy value and reasonable resolution, and fair pricing, both the insurer and the policy holder can be more fair, like building blocks to form different Policy and product innovation are the trend of current financial products pricing.
On pricing policy and the value implied by option pricing method, is now recognized as is consistent with the fair value pricing principles and pricing methods of the related literature. There are a lot of researches on it, there are a lot of valuable conclusions, one of the most respected than Bacinallo (2003b) of the dividend policy split into three parts, each part by subtracting three implicit option value method, the idea of which is the basis of this model, but the Bacinallo (2003b) split way and related literature later were not to choose the policy interpretation and argumentation. This paper argues that the policy in different ways to split income the implied option value should be different, i.e. the policy implied option value calculation of the existence of the order; in addition, it should be considered when interest rate changes, the implicit option value The law of mutual influence between, can make the corresponding avoidance or collocation in the policy design of products; third, the investment decision-making power owned by the insurance company or the policy holder, in the interests of the drive may be completely contrary to the investment decision, previous studies usually insurer investment decision-making as their premise, this paper puts forward two kinds of the investment decision under pricing model, and compared.
In order to solve the above problems, this paper designs a policy covering a variety of types of models, depending on the type of option implied warranty will be divided into 10 kinds, which can calculate the implied option value in a unified framework, other problems can be solved in the unified model framework. For the convenience of comparison, the model at the same time the calculation, using the option pricing method and the traditional actuarial method, interest rate sensitive churn model and static churn model using the traditional actuarial method, modeling of both the policy holder's micro behavior and the establishment of macro model experience surrender rate.
The results showed that: first, the order of evaluation of different implicit option value and the value of the policy in the proportion of the impact, the same implied value option in different policy in different show different effects of implicit option portfolio of other implied option value does exist; second, different age, the importance of right of rescission and the right to receive dividends in the policy is different, there is a trade-off relationship between the right of rescission and dividends; in third, with a guaranteed interest rate policy, the right to choose the high value of the insured investment, can not be ignored, in the absence of guaranteed interest rate policy, the insured investment option value is negative, which shows the impact of interest rates the insured value of the investment option is significant, in offering policyholder investment decisions or investment account conversion rights, we should pay high attention to ensure the role of interest rate to encourage high risk preference; Fourth, when the total dividend, the implied option value and the value of the policy in the proportion increased significantly, showing the investment linked insurance total dividend policy etc. should pay special attention to the effect of option implied; fifth, in the traditional actuarial method, can surrender value of a policy is obviously higher than that of calculated value of the option pricing method, display the traditional actuarial calculation method currently used in the value of the policy would be unfair to policyholders; sixth, two kinds of termination rate model compared with the traditional actuarial method, dynamic churn model considering the most important understanding about the factors influencing the rate of shadow - spread, so the policy value and the right to cancel the value rate than static model termination.

【学位授予单位】：山东大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F224;F840.3

【参考文献】