變額人壽保險之保證與解約價值Guarantee and Withdrawal Options in Variable Life Insurance Policies

摘要
　　本文針對附保證變額人壽保險契約進行評價，假設投保人可投資兩類型標的：股價指數及債券型基金，分別計算不含解約權及含解約權之躉繳純保費、隱含之保證和解約權價值，並且於投資比例、最低保證、保證給付成長率、解約保證給付成長率和首次解約時點變動下，探討於保證與解約權價值之影響。結果顯示：(1)股票比例顯著影響保證和解約權價值於保費比重。(2)投資比例、保證給付和保證給付成長率顯著影響保證價值。起始保證給付和解約之保證給付成長率增加造成解約權價值增加；而保證給付成長率和首次解約期間增加，解約權價值遞減。
關鍵字：附保證變額壽險、BGM利率模型、解約選擇權、最小平方蒙地卡羅法
Abstract
　　This paper studies the fair valuation for guarantee and withdrawal options embedded in the variable life insurance policies. The benefits of the policyholder are linked to the performance of equity index fund and bond index fund. The results show that (1) when the guarantee equals to the initial asset, the guarantee and withdrawal options significant increase given the high proportion in equity fund. (2) The guarantee increases when the proportion of equity fund, the guarantee and the growth of minimum guarantee increases. The withdrawal option increases when guarantee and growth of withdrawal guarantee increases. The withdrawal option decreases when minimum guarantee and duration of initial turnover increase. The withdrawal guarantee heavily influenced by the portfolio mix.
Keywords: minimum guarantee, BGM, withdrawal option, least square Monte Carlo