VALUATION OF GUARANTEED LIFE INSURANCE SURRENDER OPTION: A PARTIAL LEAST SQUARE APPROACH

摘要：

　　In this article we have analyzed a single premium life insurance endowment policy in which the payoff is annually adjusted according to the performance of an underlying asset which is assume to evolve according to a geometric Brownian motion.This policy can be divided in three components: the basic contract, the participation option, and the surrender option.We suggest a approach that using a Partial Least Square (PLS) regression through Monte Carlo simulation to determine the continue value of the policy, then to obtain the surrender option.The value of the options was explored numerically by risk free interest rate, the participation coefficient and the volatility of the reference asset.

关键词： Participation Option Surrender Option Monte Carlo Simulation Partial Least Square Regression

作者: Yingbin Zhang Manying Bai Yu Ruan

作者单位: School of Economics and Management, Beihang University,Beijing 100191, China

会议类型: 国际会议

会议名称: The 11th International Conference on Industrial Management(第十一届工业管理国际会议)

会议地点: 日本

会议语种:英文

页码: 714-720

在线出版日期: 2012-08-29（万方平台首次上网日期，不代表论文的发表时间）