| Insurance business with investment attributes including the dividend insurance has been developing in Chinese insurance market since 1999. It is not quite a long period since the dividend insurance was introduced into the domestic market, nevertheless it has already became the main product of each life insurance company, which accounts for at least half of the business. To acquire the market share as well as the competitive advantage, each life insurance company introduced their own main dividend products as well. However, actually there exist some understanding biases towards the function of the dividend insurance:too much expectation is laid on the guarantee of dividend insurance, meanwhile there are also some misunderstandings about the return of the dividend insurance, thereby will cause the relatively big difference between the actual dividend and the expectation, when the expectation can not be attained because of the changing of the economical environment or fluctuating of the financial market and so on, the incentive of surrender will be going strong. Hence, as the popularity of the dividend is increasing, the risk of surrender is getting higher and higher.Surrender rate can indicate the management capacity of an insurance company, which also is a very important criterion of the brand building of a insurance company, such a rate normally is not higher than 5% from the global scope.There are not so many literatures about the experience surrender rate, and normally the surrender rate is regarded as the confidential data of a insurance company. This thesis will aim to analyze the amount of the surrender rate of life insurance each year to diversify the descriptions for the behavior of surrender, hopefully can draw the practical conclusion and find out the practical method.This thesis mainly use the least-square Monte Carlo simulation to simulate the surrender rate of dividend insurance, which is divided into the following five chapters Chapter 1:introduction. Introduce the research aims which is the dividend insurance, the goal and meaning of research, content and methodology.Chapter 2:Analysis of dividend insurance domestic market and the surrender reality. This chapter firstly analyzes the advantage of the dividend insurance comparing with the traditional insurance, then points out the harmful effect on both the insured and insurer. This chapter is the logical start point of the whole thesis.Chapter 3:Theoretical research of the dividend insurance surrender rate simulation. This chapter is composed of four sections. Sectionl:Introducing the traditional research on the calculation of the insurance surrender rate.Section2: Elaborating the option characteristic of refundable dividend insurance.Secion3: Presenting the basic model of the dividend insurance distribution.Section4: Solving the model by using the least-square Monte Carlo simulation.Chapter 4:Empirical analysis of the surrender rate based on the theoretical research. Before empirical analysis, the author sets several parameter values that are combined with china's fact. There are four factors that affect surrender rate of participating insurance:risk-free rate, the minimum guarantee return rate, asset volatility, profit-sharing ratio.Chapter 5:Presenting solutions based on the qualitative and quantitative analysis. (1) Strengthen risk management of dividend insurance rate; (2) Increase the management capacity of the insurance investment; (3) Establish appropriate dividend policy; (4) Exploit new dividend insurance policy, optimize insurance class structure.The'innovations and drawbacks according to the author:(1) The combination of the financial option theory and actuarial science, calculating the dividend insurance surrender rate by using the least-square Monte Carlo simulation(2) Empirical analysis towards the dividend insurance surrender rate by using the generated equation and model, analyzing the influence factors of dividend insurance surrender rate(3) This thesis can not cover all of the influence factors, only laying emphasis on several main parts (4) All the research is based on the hypothesis of perfect and frictionless financial market, ignoring the affection of death rate and transaction cost... |
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