英文标题：
《Reserve-Dependent Surrender》
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作者：
Kamille Sofie T{\\aa}gholt Gad, Jeppe Juhl, Mogens Steffensen
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最新提交年份：
2014
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英文摘要：
We study the modelling and valuation of surrender and other behavioural options in life insurance and pension. We place ourselves in between the two extremes of completely arbitrary intervention and optimal intervention by the policyholder. We present a method that is based on differential equations and that can be used to approximate contract values when policyholders exhibit optimal behaviour. This presentation includes a specification of sufficient conditions for both consistency of the model and convergence of the contract values. When not going to the limit in the approximation we obtain a technique for balancing off arbitrary and optimal behaviour in a simple, intuitive way. This leads to our suggestions for intervention models where one single parameter reflects the extent of rationality among policyholders. In a series of numerical examples we illustrate the impact of the rationality parameter on the contract values.
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中文摘要：
我们研究了人寿保险和养老金中退保和其他行为选择的建模和评估。我们将自己置于完全任意干预和投保人最佳干预两个极端之间。我们提出了一种基于微分方程的方法，当投保人表现出最优行为时，该方法可用于近似合同价值。本演示包括模型一致性和合同价值收敛性的充分条件说明。当在近似中没有达到极限时，我们可以通过一种简单、直观的方式来平衡任意和最优行为。这就引出了我们对干预模型的建议，其中一个参数反映了投保人的理性程度。在一系列数值例子中，我们说明了合理性参数对合同价值的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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