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.

中文翻译：

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使用风险控制策略评估存在投保人退保选择权的股票挂钩产品

在过去的几十年中，股票挂钩产品的销售激增引发了许多关于这些产品中嵌入的退保选择权的评估和风险管理的讨论。然而，大多数研究将此类选项视为美国/百慕大风格选项。在本文中，提出了一种不同的方法，其中只有一部分投保人做出最佳反应，因为他们认为并非所有投保人都是理性的。通过这种方法，根据期权的货币性获得退保概率，并使用局部风险控制策略对产品进行部分对冲。这种部分对冲方法是通用的，因为财务框架几乎不需要假设。为了比较不同的投降假设，股票挂钩产品的初始资本要求是在股权制度转换模型下获得的。数值示例说明了这种对冲方法的动态性和效率。