论文标题
对具有最低利率保证和投降选择的参与政策的分析研究
An analytical study of participating policies with minimum rate guarantee and surrender option
论文作者
论文摘要
我们对具有四个关键特征的一类参与政策的价值进行了详细的理论研究：$（i）$保单持有人可以保证政策储备的最低利率； $（ii）$该合同可以随时由持有人终止，直到到期为止（投降选择）； $（iii）$在到期（或投降后），如果投资组合支持该政策的表现优于当前政策储备，则可以将奖金归功于持有人； $（iv）$由于偿付能力要求，如果资产的基础投资组合的价值低于政策储备金，则合同结束。 我们的分析是概率的，它依赖于最佳停止和自由边界理论。我们发现了最佳投降策略的结构，该结构没有对同一主题的先前（主要是数值）研究所发现。合同的最佳投降是由两个“停止损失”边界触发的，也是由\ cite {ev20}的语言过于良好的界限边界触发的。该策略的财务影响将详细讨论，并得到广泛的数值实验的支持。
We perform a detailed theoretical study of the value of a class of participating policies with four key features: $(i)$ the policyholder is guaranteed a minimum interest rate on the policy reserve; $(ii)$ the contract can be terminated by the holder at any time until maturity (surrender option); $(iii)$ at the maturity (or upon surrender) a bonus can be credited to the holder if the portfolio backing the policy outperforms the current policy reserve; $(iv)$ due to solvency requirements the contract ends if the value of the underlying portfolio of assets falls below the policy reserve. Our analysis is probabilistic and it relies on optimal stopping and free boundary theory. We find a structure of the optimal surrender strategy which was undetected by previous (mostly numerical) studies on the same topic. Optimal surrender of the contract is triggered by two `stop-loss' boundaries and by a `too-good-to-persist' boundary (in the language of \cite{EV20}). Financial implications of this strategy are discussed in detail and supported by extensive numerical experiments.
