Risk Management of Policyholder Behavior in Equity‐Linked Life Insurance
研究了可变年金合约中退保行为对动态对冲策略的影响，分析了费用结构和退保费用如何影响退保激励，并设计了一种市场化的合约，使其永远不会被最优退保。
Abstract The financial guarantees embedded in variable annuity contracts expose insurers to a wide range of risks, lapse risk being one of them. When policyholders’ lapse behavior differs from the assumptions used to hedge variable annuity contracts, the effectiveness of dynamic hedging strategies can be significantly impaired. By studying how the fee structure and surrender charges affect surrender incentives, we obtain new theoretical results on the optimal surrender region and use them to design a marketable contract that is never optimal to lapse.