本文選題：隱含期權(quán)　切入點(diǎn)：保單價(jià)值　出處：《山東大學(xué)》2013年博士論文　論文類型：學(xué)位論文

【摘要】：在當(dāng)前精算實(shí)務(wù)中,保單定價(jià)一直采用傳統(tǒng)精算方法。而對于保單中的各種選擇權(quán),包括保底利率、分紅權(quán)、解約權(quán)、投資賬戶轉(zhuǎn)換權(quán)、不定期保費(fèi)等權(quán)利,則不進(jìn)行評估,更不進(jìn)入費(fèi)率厘定過程。保單價(jià)值和作為保單重要構(gòu)成部分的隱含期權(quán)(正是因?yàn)楦鞣N隱含期權(quán),形成了各種不同的保單)的價(jià)值對保單持有人和保險(xiǎn)公司始終是一只黑箱。當(dāng)前,國際會計(jì)準(zhǔn)則和我國保險(xiǎn)會計(jì)準(zhǔn)則都要求保險(xiǎn)公司按照公允價(jià)值評估方法對保單及其所隱含的期權(quán)進(jìn)行定價(jià)。保險(xiǎn)公司若能將保單價(jià)值及組成部分進(jìn)行合理拆分,并進(jìn)行公允定價(jià),既對保險(xiǎn)人和保單持有人更公平,又可以像搭積木一樣構(gòu)成不同保單,實(shí)現(xiàn)產(chǎn)品創(chuàng)新,是當(dāng)前金融產(chǎn)品定價(jià)的大勢所趨。 用期權(quán)定價(jià)方法對保單及其隱含價(jià)值進(jìn)行定價(jià),是目前公認(rèn)的既符合公允價(jià)值定價(jià)原則又有可操作性的定價(jià)方法。相關(guān)文獻(xiàn)已經(jīng)對其進(jìn)行了大量研究,亦有大量有價(jià)值的結(jié)論出現(xiàn),其中最受推崇的莫過于Bacinallo(2003b)將分紅保單拆分為三個(gè)組成部分,利用各部分相減得到三個(gè)隱含期權(quán)價(jià)值的方法,這也是本文模型的構(gòu)思基礎(chǔ)所在,但是Bacinallo(2003b)以及后來的相關(guān)文獻(xiàn)均未對其選擇保單的拆分方式進(jìn)行解釋和論證。本文認(rèn)為保單用不同方式進(jìn)行拆分,所得隱含期權(quán)的價(jià)值應(yīng)該是不同的,即保單隱含期權(quán)價(jià)值的計(jì)算存在順序問題；另外,還應(yīng)考察當(dāng)利率發(fā)生變動時(shí),各隱含期權(quán)的價(jià)值之間的相互影響規(guī)律,才可能在保單產(chǎn)品設(shè)計(jì)時(shí)做出相應(yīng)規(guī)避或搭配；第三,投資決策權(quán)由保險(xiǎn)公司還是保單持有人擁有,在利益驅(qū)動下可能會出現(xiàn)完全相反的投資決策,以往的研究通常將保險(xiǎn)人決定投資決策作為暗含前提,本文則提出兩種投資決策方式下定價(jià)模型,并加以對比。 為解決以上問題,本文設(shè)計(jì)了一個(gè)涵蓋多種保單類型的模型,根據(jù)隱含期權(quán)的類型將保單分成了10種,從而可以在統(tǒng)一模型框架下計(jì)算各隱含期權(quán)價(jià)值,其它問題也都能在該統(tǒng)一模型框架下得到解決。為方便對比,本模型同時(shí)運(yùn)用期權(quán)定價(jià)方法和傳統(tǒng)精算方法進(jìn)行計(jì)算,其中,傳統(tǒng)精算方法采用利率敏感解約率模型和靜態(tài)解約率模型,既對保單持有人的微觀行為進(jìn)行建模,又建立經(jīng)驗(yàn)解約率宏觀模型。 研究結(jié)果發(fā)現(xiàn)：第一,不同的計(jì)算順序?qū)﹄[含期權(quán)價(jià)值和其在保單價(jià)值中的占比的影響顯著,同一隱含期權(quán)在不同保單中的價(jià)值不同,顯示不同隱含期權(quán)組合對其它隱含期權(quán)價(jià)值的影響確實(shí)存在；第二,不同投保年齡下,解約權(quán)和分紅權(quán)在保單中的重要性不同,解約權(quán)與分紅權(quán)之間存在抵換關(guān)系；第三,在有保證利率保單中,投保人投資選擇權(quán)有很高的價(jià)值,不可忽視,在無保證利率保單中,投保人投資選擇權(quán)價(jià)值則為負(fù)值,顯示保證利率對投保人投資價(jià)值選擇權(quán)的影響顯著,在提供給保單持有人投資決策權(quán)或投資賬戶可轉(zhuǎn)換權(quán)利時(shí),應(yīng)高度關(guān)注保證利率對高風(fēng)險(xiǎn)偏好的鼓勵作用;第四,當(dāng)完全分紅時(shí),各隱含期權(quán)價(jià)值與其在保單價(jià)值中的占比明顯提高,顯示投資連結(jié)保險(xiǎn)等完全分紅的保單應(yīng)格外關(guān)注各隱含期權(quán)的影響；第五,在傳統(tǒng)精算方法下,可解約保單的價(jià)值明顯高于期權(quán)定價(jià)方法下的計(jì)算值,顯示目前使用的傳統(tǒng)精算方法計(jì)算的保單價(jià)值可能對保單持有人不公平；第六,傳統(tǒng)精算方法下的兩種解約率模型相比,動態(tài)解約率模型考慮了解約率的最重要影響因素—利差,因此保單價(jià)值和解約權(quán)價(jià)值比靜態(tài)解約率模型的高。
[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.

【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F224;F840.3

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