The Effect of Risk Aversion and Loss Aversion on Equity‐Linked Life Insurance With Surrender Guarantees
研究了风险厌恶和损失厌恶型投保人在连续时间下对具有退保保证的股票挂钩型人寿保险的退保行为，发现损失厌恶导致更低的保单价值，保险公司需准确估计投保人风险偏好。
Abstract We price equity‐linked life insurance with surrender guarantees and account for risk preferences in the form of risk‐averse and loss‐averse policyholders in continuous time. Risk‐averse policyholders surrender their policy for higher equity index values. Compared to optimally surrendered policies, this behavior creates substantial policy value losses. In contrast, loss‐averse policyholders surrender once the surrender benefit realizes a gain but keep under‐performing policies. This disposition effect reduces the policy value relative to both optimally surrendered policies and policies surrendered by risk‐averse policyholders. Insurers in competitive markets need to estimate their policyholders’ risk preferences accurately.