Study on participating life insurance surrender rates based on least square Monte Carlo simulation

Dealing the surrender as an American option,this paper presents a theoretical model on the surrender rates distribution of participating life insurance,and calculates annual surrender rate using least square Monte Carlo simulation.The results show that market riskless interest rate,insurer guarantee return rate,asset volatility and the participating ratio will affect surrender rates,and there is a surrender peak before maturity,then,the surrender rates decrease and keep low,till 2~3 years before the maturity they increase gradually.