Title :
Research into Valuation Model of Unitized With-Profit Contract with Surrender Option
Author :
Zheng, Haitao ; Luo, Qiyao ; Qin, Zhongfeng ; Ren, Ruoen
Author_Institution :
Sch. of Econ. & Manage., Beihang Univ., Beijing, China
Abstract :
The value of Unitized With-Profit contract is affected by surrender, guaranteed interest rate and bonus strategy. This paper is intended to construct a valuation model for Unitized With-Profit Contract considering all these factors. In this model, these elements can be valued separately underpinned by Monte Carlo techniques. From the numerical results, we concluded that the effect of surrender option shouldn´t be overlooked while pricing this kind of contracts.
Keywords :
Monte Carlo methods; contracts; incentive schemes; pricing; profitability; strategic planning; Monte Carlo techniques; bonus strategy; guaranteed interest rate; pricing; surrender option; unitized with-profit contract; valuation model; Companies; Contracts; Cost accounting; Economic indicators; Insurance; Monte Carlo methods; Portfolios;
Conference_Titel :
Management and Service Science (MASS), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-6579-8
DOI :
10.1109/ICMSS.2011.5998434
