| Variable annuity occupies a dominant position in the investment insurance market share in Europe,America and Japan,and is also the mainstream product in foreign life insurance market.However,since the pilot of variable annuity in China,its development has encountered a bottleneck.Understanding surrender behavior is especially important for companies that offer variable annuities.The surrender behavior of investment insurance is highly related to the income of investment account to a large extent,so the surrender behavior of variable annuity is more complicated than other life insurance products.However,the behavior of giving up insurance will not only affect the assets and liabilities management of insurance companies,but also bring great uncertainty to the operation of insurance companies.At the same time will also affect the insurance company’s capital extraction and use,affect the solvency of insurance companies.This paper explores the impact of policyholder’s surrender behavior on the risk management of insurance business from the perspective of assets and liabilities and reserve,taking profit and loss and TVOG factor as the entry point.First of all,this paper constructs the investment account models of GMWB,GMDB,GMMB,GMDB+GMMB of four types of variable annuities,and establishes the asset liability model and TVOG factor calculation model under three different surrender strategies,namely,no surrender,deterministic surrender and dynamic surrender.Finally,monteCarlo simulation method is used to simulate the profit and loss distribution and TVOG factor value of variable-amount annuity of insurance companies,and CVaR is used as the risk measurement index to calculate its profit and loss level and factor value at 97.5%confidence level.In the risk measurement part,the lee-Carter model was used to predict the mortality rate,and the optimal prediction result of the weighted least square method（WLS）was determined through model testing.Then the central mortality rate of high age group was further expanded and transformed to obtain the dynamic mortality rate.Then the dynamic mortality was used as the benchmark data to measure the longevity risk under different surrender behaviors.Then,on the basis of longevity risk,the sensitivity analysis of assets and liabilities and TVOG factors under different surrender behaviors is conducted to further analyze the impact of surrender behaviors on business risks.This paper mainly draws the following conclusions:1.The simulation results based on assets and liabilities show that for GMWB,GMDB,GMDB+GMMB products,the deterministic surrender strategy is more likely to cause the increase of longevity risk than the other two kinds of surrender behaviors,while the dynamic surrender is most likely to cause the decrease of longevity risk.On the contrary,the dynamic surrender strategy was more likely to increase longevity risk than the other two kinds of surrender behaviors,while the deterministic surrender was more likely to decrease longevity risk.2.TVOG factor calculation results show that in the extreme market environment,the TVOG factor set in the second phase of C-ROSS Ⅱ cannot meet the needs of venture capital;Considering longevity risk generally reduces the required reserves for the four types of annuity,but GMWB product requires more reserves when considering longevity risk under deterministic surrender.When the account value of GMWB is low or the income is uncertain,the most reserves need to be withdrawn without surrender.The variation of TVOG factor of GMDB is complicated,so the analysis needs to consider the variation of economic environment.In most cases,GMMB requires the most reserve for its deterministic surrender assumption.GMDB+GMMB in most cases,its dynamic guarantee hypothesis requires the most reserves.Therefore,when the risk factors change,we should pay attention to the insufficient capital risk brought by the change of the surrender strategy of each product. |
