확률적 금리환경 하에서의 변액보험 가격결정 = Pricing Variable Life Insurance under Stochastic Interest Rate Environment

다국어 초록 (Multilingual Abstract)

Through the theoretical model, this study analyses the characteristics of financial risks inherent in variable life insurance policies(VL) which are primarily used as a investment vehicle. The impact of this financial risks within the net premium of the policy is exhibited through simulation. Under the Ornstein-Uhlenbeck process of stochastic interest rate environment, the model of reflecting the risk associated with the implicit return guarantee in VL pricing is suggested. The value of put option implicitly embedded in VL changes with the duration of the bond portfolio, and the simulation results suggests that the value of the guarantee accounts for about 1.26% to 4.19% of the net premium of VL policy and should be reflected in pricing.

참고문헌 (Reference)

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