| This dissertation focuses on the interest rate risk confronted by Chinese insurers in the period of transformation of interest rate regulatory policy. In the first place, the theoretical analysis of interest rate risk is carried out to explain the cause of the risk. And the characters of the interest rate risk in China, including special asset/liability duration mismatch for Chinese insurers, is discussed relating to the regulated interest rate and premium ratio. Then the latest techniques to assess the risk are introduced. After the building of market interest rate mechanism in china has been analyzed, the insurance supervision institute's focus is suggested to transferred from premium ratio to solvency margin. At last, the managing measures of interest rate risk are proposed. The dissertation is composed of preface and four chapters. Preface gives the significance of the thesis of interest rate risk and some research fruits on this issue. Chapter 1: interest rate risk of life insurersThis chapter is divided into three parts. In the first part, interest rate risk is defined as the risk of losses due to changes in interest rate levels. The pricing process of life insurance product is explained and interest rate risk is explained from the perspective of actuary. And a conclusion is drawn as following: premium will be less if policy predetermined interest rate becomes higher with other factors unchanged. The earnings got or losses suffered by insurers may arise from the gap between policy's predetermined interest rate and yield rate of insurance investment. And the earnings or losses will increase with interest rate gap unchanged and reserves accumulating. The insurers will be insolvent if losses are too heavy. The effects that interest rate has on life insurance demand and supply is another cause of interest rate risk. Of course, the effects on assets and liabilities can result in losses too. Insurers' assets are interest rate sensitive. But their liabilities are less interest rate sensitive. So there is a sensitivity gap or duration gap between assets and liabilities, which exposes insurers to the interest risk. And it's shown statistically that the components of insurance supply are related to interest rate. The effects that interest rate has on liabilities is the key part to be explained. There are two ways to calculate reserves. In one way, reserves are equal to the difference of present value of claim paid and the present value of premium earned in the future. In the other, reserves equal the difference of final value of premium got and final value of claim paid in the past. The relationship of interest rate and reserves in two ways is converse. In the former way, reserves will increase while interest rate decrease. And it's required to calculate reserves of life insurance policies in the former way by the insurance supervision institutions in china. But in the latter way, reserves will fluctuate in the same direction as interest rate does. The effects that interest rate has on built-in options of policy may be one of key factors leading to losses. So insurers are suggested to set obstacle in policy to increase the cost of the options.The second part focuses on the characters of insurers' interest rate risk in china. There isn't long-term interest rate which can be referred to by life insurance actuary. And it explores how policy premium fails to meet claim due to deflation in recent years in china. At last, the author tries to explain the existence of insurers' assets/liability dismatch in china. One cause is the insurance investment restriction since insurance law was carried out. Chapter 2 introduces several assessment tools of interest rate risk, including average life analysis, duration analysis and value at risk (VAR). And the different requirements on environment for them are manifested. What needs to be emphasized is VAR is utilized widely by finance institutions in recent years. Chapter 3: The freedom of interest rate and premium ratio First, it's pointed out that... |
PDF Full Text Request