摘要
分红型人寿保险保单可以视作由三部分构成:固定收益债券、分红权和退保权。退保权的存在使保单具有美式期权的性质,给定价带来困难。本文用最小二乘蒙特卡罗模拟,建立了计算保单价值的模型,给出了模拟计算结果。
Participating life insurance can be decomposed into three parts： a fixed-income bond, a bonus option and a surrender option. The surrender, which makes the contract into an American option right, brings difficult on its pricing. A pricing model is made under least square Monte Carlo simulation, and the simulation results are given.
出处
《管理工程学报》
CSSCI
2006年第3期62-66,共5页
Journal of Industrial Engineering and Engineering Management
关键词
分红寿险
退保权
最小二乘蒙特卡罗模拟
美式期权
participating life insurance
surrender option
least square Monte Carlo simulation
american option
