The Actuarial Analysis Of Life Insurance Policy's Interest Rate Risk

Since 1982 China restarted it's life insurance industry, Chinese insurance industry has kept progressing quickly and steadily. After China joined the WTO in 2001, Chinese government committed roundly to open it's insurance market in 5 years. Since then more and more insurance companies have been set up in China. But more companies means more competition and risk, especially interest rate risk.In 1990's Chinese insurace industry has already experienced a huge loss for interest rate risk. Now the interest rate is comparatively low, so does the interest rate risk, but we should never stop enhancing the ability of risk resistance and build up an effective system of measuring and hedging the interest rate risk.In Chapter 1, it starts from the causes of interest rate risk of life insurance and especially discusses the situation in our country.In Chapter 2, it Measures risk amount of interest rate of life insurance by using standard variation of actuarial present value of life policy and pricing with cash flow method.In Chapter 3, it Compares the differences between bond and life policy, and analyzes the feasibility of using duration matching theory on life policy. It also uses the actuarial present value model to calculate the duraion and convexity of life policy.In the end, the dissertation cites a policy to explain how to calculate the duration of policy and how to perform duration matching in the purpose of hadging interest rate risk.