ABSTRACT

We develop a two-stage contingent claim model to evaluate a life insurer’s equity. The model sequentially determines the optimal guaranteed rate and the optimal technology choice for strategic asset-liability matching management. We show that increases in policy loans decrease the insurance businesses at a reduced guaranteed rate. The shrinking life insurance businesses discourage the insurer from using advanced technology. However, we find that an increase in advanced technology involvement enhances insurance businesses at an increased guaranteed rate. An increase in the policy loan also increases the policyholder protection when considering the optimal guaranteed rate and technology choice strategies.

摘要

我们开发了一个两阶段或有索赔模型来评估人寿保险公司的权益。该模型依次确定了战略资产负债匹配管理的最优保证率和最优技术选择。我们表明，保单贷款的增加以降低的保证利率降低了保险业务。寿险业务的萎缩使保险公司不愿使用先进技术。然而，我们发现先进技术参与的增加以更高的保证率增强了保险业务。在考虑最佳保证利率和技术选择策略时，保单贷款的增加也增加了保单持有人的保护。