Creating Customer Value in Participating Life Insurance

The value of a life insurance contract may differ depending on whether it is looked at from the customer's point of view or that of the insurance company. We assume that the insurer is able to replicate the life insurance contract's cash flows via assets traded on the capital market and can hence apply risk‐neutral valuation techniques. The policyholder, on the other hand, will take risk preferences and diversification opportunities into account when placing a value on that same contract. Customer value is represented by policyholder willingness to pay and depends on the contract parameters, that is, the guaranteed interest rate and the annual and terminal surplus participation rate. The aim of this article is to analyze and compare these two perspectives. In particular, we identify contract parameter combinations that—while keeping the contract value fixed for the insurer—maximize customer value. In addition, we derive explicit expressions for a selection of specific cases. Our results suggest that a customer segmentation in this sense, that is, based on the different ways customers evaluate life insurance contracts and embedded investment guarantees while ensuring fair values, is worthwhile for insurance companies as doing so can result in substantial increases in policyholder willingness to pay.     

Guarantees in With-Profit and Unitized With-Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option

The purpose of the article is to apply contingent claim theory to the valuation of the type of participating life insurance policies commonly sold in the UK. The article extends the techniques developed by Haberman, Ballotta, and Wang (2003) to allow for the default option. The default option is a feature of the design of these policies, which recognizes that the insurance company's liability is limited by the market value of the reference portfolio of assets underlying the policies that have been sold. The valuation approach is based on the classical contingent claim pricing “machinery,” underpinned by Monte Carlo techniques for the computation of fair values. The article addresses in particular the issue of a fair contract design for a complex type of participating policy and analyzes in detail the feasible set of policy design parameters that would lead to a fair contract and the trade‐offs between these parameters.     

THE VALUE OF A FORWARD CONTRACT IN FOREIGN CURRENCIES

Under some assumptions a valuation model for a forward contract in foreign currencies is developed. The model produces the value of the contract which is consistent with the value of other types of forward contract; the initial value is zero, and subsequent values are the present values of the differences between the forward rate when the contract is written and current forward rates.     

Originators,wholesalers, and conduits: The marginal value of the contract rate on 30-year conventional mortgages

The model we present solves for the value of an incremental change in the mortgage contract given an expectation about the time the mortgage will be outstanding and a required return for this time span. The marginal value participants in the primary mortgage market place on the contract rate of a 30-year conventional mortgage determines the array of bids for new mortgage production. Mortgagors can issue mortgages at various discounts. High discounts are associated with low contract rates, and low discounts are associated with high contract rates. This article examines the way wholesale dealers and conduits value the various contract rates associated with current production of 30-year conventional mortgages.     

The Value of Embedded Real Options: Evidence from Consumer Automobile Lease Contracts

Under the common assumption of constant interest rates, we show that penalties for early termination of a lease are often structured in such a way that the cancellation option embedded in consumer automotive leases has little value. Furthermore, our estimates drawn from a sample of three popular car models over 1990 to 2000 indicate that the stand‐alone value of the lease‐end purchase option is, on average, about 16% of the market value of underlying used vehicles, or about $1,462 per contract. Finally, we examine the sensitivity of our option value estimates to model parameters and default risk.     

Fair Valuation of Participating Life Insurance Contracts with Jump Risk

The purpose of this article is to value participating life insurance contracts when the linked portfolio is modeled by a jump-diffusion. More precisely, this process has a Brownian component and a compound Poisson one, where the jump size is driven by a double exponential distribution. Specifically here, the bankruptcy risk of the insurance company is considered. Thus, market and credit risks are taken into account. A quasi-closed-form formula is obtained in fair value for the price of the considered life insurance contract. This allows us to investigate the impact of strategic parameters as well as structural ones, as is shown in the numerical section of this paper. In particular, we study the impact on the contract of the volatility, jump intensity, jump asymmetry, company leverage, guaranteed rate, participation rate and level of the default barrier, and comment on how they are likely to increase the probability of early default of the issuer.     

Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option

In this article we deal with the problem of pricing a guaranteed life insurance participating policy, sold in the Italian market, which embeds a surrender option. This feature is an American‐style put option that enables the policyholder to sell back the contract to the insurer at the cash surrender value. Employing a recursive binomial formula patterned after the Cox, Ross, and Rubinstein (1979) discrete option pricing model we compute, first of all, the total price of the contract, which also includes a compensation for the participation feature (“participation option,” henceforth). Then this price is split into the value of three components: the basic contract, the participation option, and the surrender option. The numerical implementation of the model allows us to catch some comparative statics properties and to tackle the problem of suitably fixing the contractual parameters in order to obtain the premium computed by insurance companies according to standard actuarial practice.     

从制度经济学角度分析土地流转

我国农村土地制度具有三个特点:等级性、社区封闭性和政府控制。与产权残缺相比,土地的保障功能更可能是减少供给从而阻碍土地流转的主要原因。土地承包权只有成为物权,才能表现为一种具有交换价值的独立资产。赋予农户以处分权的意义也在于使承包者能够将承包权当作独立的交换价值进行流转。只有存在完整意义上的承包经营权,才谈得上形成土地使用权流转的市场机制。     

Mutual fund insurance

During the 1970's, mutual fund insurance was sold in the U.S. by the Harleysville and Prudential Insurance Companies. This paper examines the valuation and demand for this insurance. It illustrates that because of its design, for many plausible combinations of model parameters, a competitive premium need not exist for the Harleysville contract. A competitive premium will always exist for the Prudential policy, however the value is directly related to the age of the purchaser. Harleysville charged the same premium to all funds and therefore was subject to adverse selection. Evidence of this effect is provided by illustrating that the demand for the insurance was directly related to its competitive market value.     

Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model

In this article we propose a lattice algorithm for pricing simple Ratchet equity-indexed annuities (EIAs) with early surrender risk and global minimum contract value when the asset value depends on the CIR++ stochastic interest rates. In addition we present an asymptotic expansion technique that permits us to obtain a first-order approximation formula for the price of simple Ratchet EIAs without early surrender risk and without a global minimum contract value. Numerical comparisons show the reliability of the proposed methods.     

金融期货合约规模设计研究

金融期货合约规模的大小会对市场交易造成影响。过小的合约规模将增加交易者的交易成本，而过大的合约规模却会阻止一些小额交易者进入市场，使得成交量减小，买卖价差价值扩大，市场交易效率降低。合约规模是否合理可通过比例法和合约风险价值法来判断。我国开展金融期货，可采用先大合约规模、后小合约规模方式进行。     

公允价值的目标论与契约研究导向——兼以上市公司首次确认辞退补偿为例

本文从公允价值的法律渊源出发,指出公允价值概念的产生和推广源于对经济活动中公平性的追求,因此公允价值在会计理论溯源上,其基本内涵是反映公平交易的计量目标。公平交易是产权的重要保护方式,从这个意义出发.我们认为在当前中国产权法律保护尚待完善的环境中,公允价值研究的重心应当以契约研究为导向。即单纯讨论采用何种公允价值计量方法更为合理可能都是有失偏颇的,只有深刻理解会计信息发生作用的契约环境,才能够真正为公允价值会计寻找有效的执行机制。同时我们以首次执行新会计准则的上市公司确认辞退补偿为例,进行了初步的契约导向分析。     

Explicit versus Implicit Contracts: The Case of DIFF and CROSS Futures

This paper investigates the potential success of an explicit futures contract when an implicit one, which can duplicate it, exists. It is hypothesized that the success of the explicit futures contract depends on its value added being greater than that of its implicit counterpart given that sufficient hedging demand exists for it. Following a discussion of value added analysis, hedging effectiveness of the Euro-rate Differential (DIFF), the Currency Cross-rate (CROSS) futures contracts, and their implicit counterparts are calculated and tests of relative hedging effectiveness of these contracts are performed. Test results support the hypothesis of the paper and their implications for new futures contract development are discussed.     

以企业价值最大化为导向的企业绩效评价体系——基于利益相关者理论

企业拥有众多的利益主体,企业管理目标应该与企业利益主体有关,各个利益主体的目标都可以折衷为企业长期稳定发展和企业总价值的不断增长。企业的经营绩效应以最大限度地实现各利益主体的目标为已任, 企业绩效评价以企业价值最大化为核心符合现代企业管理方向。     

国家审计人员心理契约、工作满意度与知识共享行为

在知识经济的时代,知识成为组织提升核心竞争力的主要因素。本文基于文献研究提出了国家审计人员心理契约与知识共享行为的关系以及影响这种关系的工作满意度的假设。根据315份问卷的实证研究发现,心理契约与审计人员知识共享行为显著正相关;心理契约与审计人员工作满意度显著正相关;工作满意度与审计人员知识共享行为显著正相关;工作满意度在心理契约与审计人员知识共享行为关系中起部分中介作用。研究结论对于国家审计机关识别审计人员的心理需求,提高工作满意度,促进知识共享有重要的理论意义与实践价值。     

An empirical analysis of implicit delivery options in the treasury bond futures contract

Assuming perfect, frictionless and efficient markets, this paper develops a framework to estimate the composite value of the quality, wild card and end-of-month options implicit in the T-bond futures contract. The value of delivery options is shown to be the excess of forward price of the cheapest bond over its conversion factor times the exercise price of futures contract. Empirical results indicate that the option values over the last quarter of the nearby contract are on average less than 0.5 percent of the mean futures price, which is substantially lower than the value reported by previous studies. Further scrutiny reveals that although the empirical estimates are contaminated by non-synchronous bond data, they are consistent with certain known theoretical properties of option values.     

Insurance Contract Design When the Insurer Has Private Information on Loss Size

This article examines the optimal indemnity contract in an insurance market, when the insurer has private information about the size of an insurable loss. Both parties know whether or not a loss occurred, but only the insurer knows the true value of the loss and/or to what extent the losses are covered under the policy. The insured may verify the insurer's loss estimate for a fixed auditing cost. The optimal contract reimburses the auditing costs in addition to full insurance for losses less than some endogenous limit. For losses exceeding this limit, the contract pays a fixed indemnity and requires no monitoring. The optimal contract is compared with the contracts obtained in cases where it is only the insured who can observe the loss size.
     

担保准备金公允价值计量方法研究

目前我国担保公司担保准备金按固定比例提取,有悖于其或有性。担保准备金实质上是一种或有负债,应采用公允价值计量。对未到期责任准备金的提取,短期担保合同采用未赚保费法,长期担保合同采用三因素法。担保赔偿准备金提取采用逐案估算法、平均值估算法、损失率法,并增加理赔费用准备金。     

基于心理契约破裂的企业与员工非对称性互惠共生建模与仿真研究

运用企业与员工非对称性互惠共生Logistic基本模型与引入心理契约破裂参数的扩展模型进行企业与员工共生关系研究,并通过Matlab数值仿真验证模型研究结果。结果表明:能量的非独立性生成、非对称性分配是企业与员工非对称性互惠共生关系的典型表现;工作发展型心理契约破裂在企业与员工共生关系协调阶段对非对称性互惠共生有较大的阻滞;会导致企业与员工非对称性互惠共生关系真正的破裂。