Life insurance surrender and liquidity risks
研究了寿险退保风险与流动性风险的相互影响，发现考虑流动性约束后退保风险增大，极端事件中大规模退保与流动性危机可能相互触发，导致偿付能力资本不足。
Surrender options in endowment life insurance contracts can result in a surrender risk for the insurer. This risk is closely related to investment and liquidity risks. Consequently, the surrender risk is underestimated if it is assessed without consideration of all major risk sources. Using different risk measures, this paper shows that the surrender risk increases if the liquidity constraint is considered. Additionally, in an extreme event, mass surrender and a liquidity crisis can trigger each other. Therefore, the surrender risk could grow even faster. In this case, the solvency capital calculated within the Solvency II regime may not be enough to provide the intended protection. Furthermore, if policyholders surrender their contracts rationally, insurers face an even higher default threat.