| As China became a member of WTO, the Chinese life insurance industry will experience more fierce international competition. What is more, the interest rate of China will be more and more determined by market. So it is very important to do research on the causes, situation and management of interest rate risk of the life insurance, in order to control the interest rate risk effectively, to develop continuously, steadily and healthily, to improve the international ability of competition.Combined with the present situation of the Chinese life insurance industry, the 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 main causes of interest rate risk of life insurance: the pricing methods of life insurance products, the not-matching sensitivity of assets and liabilities, the option in the policy, and the influence on the supply and demand of life insurance products. By the positive analysis, we can see that stability of the supply and the demand was affected mostly. I also do analysis on the structure variation of the supplication caused by the interest rate fluctuation.Then this paper analyzed the present situation of the interest risk. The research was done by two steps: first, I study the affect on reserves, then I do a cash flow test to study the influence of the change of interest rate on the profit of Chinese life insurance companies to know the ability of resist the risk.Then the design of risk-resisting products was discussed. A or interest risk-resisting products was established, the results proved that the model works well.At last, the problems such as the transformation of the products was discussed. I make some proposals on the supervision, the inner management of insurance company , the policy of the investment and so on. I wish my research will be helpful for the life insurance company to manage the interest risk. |
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