Monte Carlo Valuation of Surrender Option in Life Insurance
碩士 === 國立高雄第一科技大學 === 金融系碩士班理財組 === 103 === After the financial tsunami, Investment-oriented insurance products become less attractive due to the characteristic of financially autonomous cause investors experienced a great loss. Life insurance products which emphasize capital preservation become mor...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/33250562605679430746 |
| Summary: | 碩士 === 國立高雄第一科技大學 === 金融系碩士班理財組 === 103 === After the financial tsunami, Investment-oriented insurance products become less attractive due to the characteristic of financially autonomous cause investors experienced a great loss. Life insurance products which emphasize capital preservation become more popular than before. Therefore, life insurance companies may be affected if the interest rates change in the future. For example, investors may surrender their life insurance policies and ask for cash surrender value. This study will examine the surrender value on life insurance policies by using stochastic interest rate and mortality rates. We hope the result could provide life insurance companies in estimating the cost of policies in order to reduce the surrendered risk.
The results show that surrender option value would become higher and would lead to surrender insurance policies if the level of interest rates and interest rate volatility getting higher or surrender costs and customer loyalty become lower. This would cause insurance companies sudden a great risk of liquidation.
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