Study On The Interest Rate Risk Of Insurance In China

As China became a member of WTO,the Chinese life international competition. What is more,the interest rate of China will be moreand more determined by market. So it is very important to study the causes,measure and management of interest rate risk is very important for the Chinese life insurance industry .And it will be helpful for the Chinese life insurance industry to develop continuously, steadily and healthily, and to survive in the dog-eat-dog international life insurance industry. This paper used the actuarial science and interest rate risk management theories to study the interest rate risk of the Chinese life insurance industry.At first, this paper analyzed the making a price causes of life insurance products and bringed effect to prosecution of life insurance company. The mostly origin of life insurance product interest rate risk was intending hypothesis of interest rate at making aprice about life insurance product, and that the hypothesis has prodigious incertitude. So this will bringing huge risk even working bankruptcy when there were great discrepancy between schedule interest rate and actual interest rate. After that ,the paper analyzed the change of interest rate bringed effect to fare rate,reserve or profit and the change of Chinese life insurance companies'reserve caused by the change of the interest rate ,so the siutuation and character of interest rate risk of Chinese life insurance were studied after thinking over the income of life insurance company. And then the cash flow test was used to study the influence of the change of interest rate on the profit of Chinese life insurance companies. By study we can draw a concliusion reserve rate continuance enhance, but elevated pace continuance reduce and elevated range even more accord with fact along with fail of interest rate after eliminating increase factor of fee and then studied the measurement of risk and analysed relation of duration or VaR . When we measure the risk of interest rate ,the value at risk is a powerful tool .but value at risk did not easy gain. The text educe the contact of value at risk at and effective duration at interest rate obeying loganthm normal school hypothesis. And we can gain value at risk at definite error range through the contact, this provide material gist of combination value most loss as interest rate move disadvantage direction. At last this paper discussed the application of management way in the life insurance interest rate...