{"title":"使用风险控制策略评估存在保单持有人放弃期权的股票挂钩产品","authors":"Patrice Gaillardetz, S. Hachem, Mehran Moghtadai","doi":"10.1017/S1748499521000051","DOIUrl":null,"url":null,"abstract":"Abstract Throughout the past couple of decades, the surge in the sale of equity-linked products has led to many discussions on the evaluation and risk management of surrender options embedded in these products. However, most studies treat such options as American/Bermudian style options. In this article, a different approach is presented where only a portion of the policyholders react optimally due to the belief that not all policyholders are rational. Through this method, a probability of surrender is obtained based on the option moneyness and the product is partially hedged using local risk-control strategies. This partial hedging approach is versatile since few assumptions are required for the financial framework. To compare the different surrender assumptions, the initial capital requirement for an equity-linked product is obtained under a regime-switching equity model. Numerical examples illustrate the dynamics and efficiency of this hedging approach.","PeriodicalId":44135,"journal":{"name":"Annals of Actuarial Science","volume":"16 1","pages":"25 - 41"},"PeriodicalIF":1.5000,"publicationDate":"2021-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1017/S1748499521000051","citationCount":"1","resultStr":"{\"title\":\"Evaluation of equity-linked products in the presence of policyholder surrender option using risk-control strategies\",\"authors\":\"Patrice Gaillardetz, S. Hachem, Mehran Moghtadai\",\"doi\":\"10.1017/S1748499521000051\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract Throughout the past couple of decades, the surge in the sale of equity-linked products has led to many discussions on the evaluation and risk management of surrender options embedded in these products. However, most studies treat such options as American/Bermudian style options. In this article, a different approach is presented where only a portion of the policyholders react optimally due to the belief that not all policyholders are rational. Through this method, a probability of surrender is obtained based on the option moneyness and the product is partially hedged using local risk-control strategies. This partial hedging approach is versatile since few assumptions are required for the financial framework. To compare the different surrender assumptions, the initial capital requirement for an equity-linked product is obtained under a regime-switching equity model. Numerical examples illustrate the dynamics and efficiency of this hedging approach.\",\"PeriodicalId\":44135,\"journal\":{\"name\":\"Annals of Actuarial Science\",\"volume\":\"16 1\",\"pages\":\"25 - 41\"},\"PeriodicalIF\":1.5000,\"publicationDate\":\"2021-03-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1017/S1748499521000051\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Annals of Actuarial Science\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1017/S1748499521000051\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annals of Actuarial Science","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1017/S1748499521000051","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Evaluation of equity-linked products in the presence of policyholder surrender option using risk-control strategies
Abstract Throughout the past couple of decades, the surge in the sale of equity-linked products has led to many discussions on the evaluation and risk management of surrender options embedded in these products. However, most studies treat such options as American/Bermudian style options. In this article, a different approach is presented where only a portion of the policyholders react optimally due to the belief that not all policyholders are rational. Through this method, a probability of surrender is obtained based on the option moneyness and the product is partially hedged using local risk-control strategies. This partial hedging approach is versatile since few assumptions are required for the financial framework. To compare the different surrender assumptions, the initial capital requirement for an equity-linked product is obtained under a regime-switching equity model. Numerical examples illustrate the dynamics and efficiency of this hedging approach.