Modern life insurance policies embed a surrender option that entitles policyholders to terminate their policy early for its cash value. Mass surrenders–spiking surrenders of life insurance policies within a short period–are widely documented prior to many life insurer failures, but their impacts on insurers are rarely quantified. This paper builds a model of mass surrenders in a heterogeneous pool consisting of a minority of financially guided policyholders who make rational surrender decisions and a majority of individual policyholders who are subject to herd. By revising the self-excitation in the Hawkes process to a contingent event-accumulation-excitation, we introduce a history-dependent surrender process for the individuals whose contagious behavior can be triggered contingent on past surrenders becoming salient. We then incorporate it into a life insurance pricing framework and study mass surrenders’ impacts on contract valuation and default risk of the insurer, allowing for its structural default under regulatory solvency intervention. Our numerical results show that while contagion aligns individual policyholders’ surrender behavior with the optimal surrender of financially guided ones, it jeopardizes their financial positions in favor of equity holders. Surprisingly, surrender contagion only mildly enlarges an insurer’s bankruptcy rate, which is not driven by strict solvency regulation. Despite its public perception of posing a significant risk to insurers as similar to a bank run, surrender contagion does not critically threaten insurers’ solvency: To prevent insurers’ bankruptcies, their investment riskiness and leverage pose more of a concern to regulators.

现代人寿保险保单包含退保选择权，保单持有人有权提前终止其保单以获取其现金价值。在许多人寿保险公司倒闭之前，大量退保——短时间内人寿保险保单的激增退保——被广泛记录，但它们对保险公司的影响很少被量化。本文构建了一个异构池中的大规模退保模型，该池由少数做出理性退保决定的财务指导保单持有人和大多数受羊群影响的个人保单持有人组成。通过将霍克斯过程中的自激修改为偶然的事件积累激发，我们为个人引入了一个依赖于历史的投降过程，其传染性行为可能因过去的投降变得显着而被触发。然后，我们将其纳入人寿保险定价框架，并研究大规模退保对保险公司合同估值和违约风险的影响，允许其在监管偿付能力干预下发生结构性违约。我们的数值结果表明，虽然传染使个人保单持有人的退保行为与财务指导的最佳退保保持一致，但它会危及他们的财务状况，有利于股东。令人惊讶的是，退保蔓延只会轻微地增加保险公司的破产率，而这并不是由严格的偿付能力监管驱动的。尽管公众认为退保蔓延对保险公司构成类似于银行挤兑的重大风险，但退保蔓延并未严重威胁保险公司的偿付能力：为了防止保险公司破产，