A Joint Valuation of Premium Payment and Surrender Options in Participating Life Insurance Contracts

Détails

ID Serval
serval:BIB_05B3E84A097C
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
A Joint Valuation of Premium Payment and Surrender Options in Participating Life Insurance Contracts
Périodique
Insurance: Mathematics and Economics
Auteur⸱e⸱s
Schmeiser H., Wagner J.
ISSN
0167-6687
Statut éditorial
Publié
Date de publication
2011
Peer-reviewed
Oui
Volume
49
Numéro
3
Pages
580-596
Langue
anglais
Résumé
In addition to an interest rate guarantee and annual surplus participation, life insurance contracts typically embed the right to stop premium payments during the term of the contract (paid-up option), to resume payments later (resumption option), or to terminate the contract early (surrender option). Terminal guarantees are on benefits payable upon death, survival and surrender. The latter are adapted after exercising the options. A model framework including these features and an algorithm to jointly value the premium payment and surrender options is presented. In a first step, the standard principles of risk-neutral evaluation are applied and the policyholder is assumed to use an economically rational exercise strategy. In a second step, option value sensitivity on different contract parameters, benefit adaptation mechanisms, and exercise behavior is analyzed numerically. The two latter are the main drivers for the option value.
Mots-clé
Participating life insurance contracts, Embedded options, Paid-up and resumption, Surrender, Monte Carlo method, Optimal stopping problem
Web of science
Création de la notice
04/07/2014 16:47
Dernière modification de la notice
20/08/2019 13:27
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