AI 中文总结
本文针对利率上升引发寿险公司退保风险的问题，构建保险专属挤兑机制模型，分析策略性退保博弈，得出两类挤兑的利率阈值，揭示资本与续期收益对退保的影响。
AI 中文摘要
利率上升会降低寿险公司资产的市场价值，同时提高保单持有人的外部收益，从而使寿险公司面临退保风险。本文构建了一个保险专属挤兑机制的极简模型，其中策略互动的产生是因为提前退保会耗尽支撑续期价值的资产池。我们分析了一个策略性退保博弈，其中挤兑是由资产价值、合同退保索赔和依赖收益的续期收益共同决定的均衡结果。该模型得出了基本面驱动和自我实现型挤兑的闭式利率阈值。资本弱化会小幅降低联合退保临界值，续期收益会提高退保阈值，但也可能产生策略互补性。
英文摘要
Rising interest rates can expose life insurers to surrender risk by reducing the market value of their assets and raising policyholders' outside returns. This paper develops a minimal model of an insurance-specific run mechanism in which strategic interaction arises because early surrenders can deplete the asset pool backing continuation values. We analyze a strategic surrender game in which a run is an equilibrium outcome determined jointly by asset values, contractual surrender claims, and payoff-dependent continuation benefits. The model yields closed-form interest-rate thresholds for fundamentals-driven and self-fulfilling runs. Thinner capitalization weakly lowers the joint-surrender cutoff. Continuation benefits raise surrender thresholds but can also create strategic complementarity.
