同時附解約權與續約權的變額壽險保單之評價

變額壽險的特點在於到期之給付金額與指標資產組合價值連動。為了降低給付金額因連動指標資產組合價值不確定的風險，保險公司通常會提供最低保障金額。基本的具保證收益變額壽險保單並沒有提供投資人續約權及解約權。但近幾年來，為讓投資人有更多的選擇，具續約權與解約權的變額壽險保單已開始在市場銷售。本研究提出估算同時附有此二項選擇權之具保證收益變額壽險的評價方式。許多相關的研究考慮了不同的到期支付型態或者僅針對保單條款中特定單一的選擇權加以評價。本文將保單條款中的續約權與解約權同時納入考慮，以符合實務上之需要。由於兩種選擇權具相關性，因而增加模式建立的困難。本研究依據財務定價理論與壽險精算原理，分別針對續約權、解約權及二者之組合進行評價。最後，輔以數值分析說明此二項選擇權之特性以及各種金融參數對保單價值的影響。
關鍵字：變額壽險、續約權、解約權、保證收益
Evaluating the Guaranteed Variable Life Insurance
with Renewal and Surrender Options
Abstract
One of the most popular investment instruments available in Taiwan recently is the variable life insurance product. As contrasted with traditional insurance policies, one distinguishing feature of variable life insurance policy is that the benefit payable at expiration depends upon the market value of some reference portfolio. To reduce policyholder’s risk, insurance companies usually provide policyholder with a guaranteed value. The original type of this guaranteed insurance contract gives neither renewal nor surrender options to policyholders. To give the insured more flexibility, both options are added to contracts in recent years. Many models have been proposed to price guaranteed contracts providing renewal option. However, when applied to contracts embedding surrender option, mutual exclusion of renewal and surrender options makes model calibration rather challenging. The purpose of this paper is to propose a pricing model to calculate the fair premiums of a guaranteed equity-linked life insurance embedding either renewal or surrender options but not both. The costs for policyholders to hold these options in various scenarios are compared with numerical analyses.

Keywords: Variable Life Insurance, Renewal Option, Surrender Option, Guarantees