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The Research On Interest Rate Risk Of Chinese Insurance Company

Posted on:2005-10-04Degree:MasterType:Thesis
Country:ChinaCandidate:X M WeiFull Text:PDF
GTID:2156360122487522Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
Interest rate fluctuates in recent years, which play an important influence on life insurance company and lead to great interest risk in China. Some researches on Chinese life insurance company interest rate risk have been done which almost is qualitative analysis. In contrast, this paper researches this question in quantitative analysis.There are five sections in this dissertation, which are the status quo of Chinese life insurance industry, the general models of controlling interest rate risk, the application of asset-liability matching model in preventing interest rate risk of Chinese life insurance company, and some research on life insurance products in opened interest rate market.The innovations in this paper include: asset-liability management model (ab. ALMM) of liability leading is not fit for Chinese insurance company because of some exterior and interior causations, and this paper suggests Chinese insurance company betakes the asset leading and the liability leading linked mode ALMM. The asset-liability matching models are deduced for interest rate sensitive and insensitive life insurance products, the interest rate sensitivity of Chinese life insurance company is verified by flexibility test. Actuarial models of life insurance products with stochastic interest rate are deduced according to the actuarial insurance theory. The evadable effect of these models against interest rate risk is presented by empirical analysis.In this paper, the bonus policy with no choice option (viz. can not exercise before maturity) is named European bonus policy, and the bonus policy with choice option (viz. can exercise before maturity) is named American bonus policy. The actuarial equations of European and American bonus polity are deduced according to actuarial insurance theory. And these equations are validated by Monte Carlo simulation method. Moreover, the actuarial model of unit-linked products is deduced.
Keywords/Search Tags:interest rate risk, asset-liability matching, stochastic interest rate, life insurance sensitive product, life insurance insensitive product, actuarial model.
PDF Full Text Request
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