CAJ | 학술논문

保险公司的违约风险和被保险人的退保行为是影响累积分红寿险价格的重要因素．为了扩展我们前期的相关研究成果，该研究放宽违约和退保假设，即在每个保险年度的年末存在违约可能和被保险人可能在年末退保，逐步建立三个定价模型来探讨在考虑违约情况下的累积分红寿险内嵌退保权的定价问题，并通过蒙特卡罗方法对定价模型进行了模拟计算．研究结果表明：若在定价模型中不考虑退保权问题，会严重低估累积分红寿险的价值，且退保权价值对资产波动率等多种因素的敏感性都很高；违约价值的增加对退保权价值的增加起到了正面作用．
보험공사적위약풍험화피보험인적퇴보행위시영향루적분홍수험개격적중요인소．위료확전아문전기적상관연구성과，해연구방관위약화퇴보가설，즉재매개보험년도적년말존재위약가능화피보험인가능재년말퇴보，축보건립삼개정개모형래탐토재고필위약정황하적루적분홍수험내감퇴보권적정개문제，병통과몽특잡라방법대정개모형진행료모의계산．연구결과표명：약재정개모형중불고필퇴보권문제，회엄중저고루적분홍수험적개치，차퇴보권개치대자산파동솔등다충인소적민감성도흔고；위약개치적증가대퇴보권개치적증가기도료정면작용．
Both insurer＇s default risk and insured＇s surrender events are important factors in pricing unitized participating life insurance. In order to extend the results presented in our earlier research, we suppose that both surrender and default could happen at the end of each insurance year. In this paper, three models are constructed for pricing surrender option with insolvency. An iterative algorithm based on Monte Carlo simulation method is then implemented in order to compute them. The findings are as follows： price of unitized participating life insurance could be badly underestimated without consideration of surrender option, price of which is highly sensitive to some exogenous variables such as volatility. It was also implied that growth in default risk tends to result in growth in value of surrender option.