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Life Spread Loss Risk Actuarial Analysis

Posted on:2003-11-25Degree:MasterType:Thesis
Country:ChinaCandidate:M ZhangFull Text:PDF
GTID:2206360092970641Subject:Finance
Abstract/Summary:PDF Full Text Request
We live in a probable world. "Probability" problem rises from the variability of objective world and our unability to cognize it in subject totally and immediately. Man has struggled with "probability" throughout a whole process of mankind society. Mathematical technology becomes the main instrument with which people cognize and control probability when mankind society steppes up into rational civilization. Our cognition is more close to the nature of things by quantitative analyze. We can forecast future result through past experience, but its feasibility depends on the existence of past experience data. What the thesis studies is Interest spread risk of life insurance. Interest spread risk of life insurance is defined as the loss probability resulting from unfavorable variation of real investment return rate of life insurance capital from policy ordered fixed credit interest rate. The thesis lays emphasis on quantitative analyze and theoretical study in method and technology. Writer hopes the thesis can dedicate to life insurance practical operation in our country.The main train of thought of the thesis:The thesis starts from the causes of interest spread risk of life insurance, and especially discusses the situation in our country; Secondly, going on quantitative analyze: 1) measuring risk amount of interestspread of life insurance by using law of probability mathematical method, 2) analyzing influence factors on risk amount of interest in terms of risk amount measuring and actuarial policy profits sources analyzing; Thirdly, inquiring into methods of forecasting interest spread loss of life insurance business, including in total business and in different business respectively; Fourthly, the thesis discusses the influences of interest spread risk on life insurance operation. Investment return rate of life insurance capital is crucial to policy profits, which is concluded from sensitive analyzing of present value of policy profits. Life insurance company's profitability relays on policy profits. Again, life insurance company's business profitability is influenced by interest spread risk along with its after effect on reserve valuation of life insurance; Lastly, two risk prevention schemes are taken out: designing unfixed credit interest policies and making allowance for interest spread risk cost in pricing.The main content of the thesis including four chapters:Chapter one, the causes of interest spread risk of life insurance. In need of limiting studying scope of the thesis, writer gives a definition to interest spread risk of life insurance and explains its rationality and fitness. "Policy ordered fixed credit interest rate" in definition just fits for traditional fixed cost policy. Interest spread risk is liable to traditional fixed cost policy, so definition takes it. In order to make the definitionclearer to readers, the thesis compares Interest spread risk with Interestrisk of insurance. The direct causes of Interest spread risk are unfavorable or negative interest spread and the uncertainty or wobble of future investment return rate of life insurance capital. Now interest spread risk exists universally in life insurance business carried out early in our country. The thesis discusses its special causes.Chapter two, measuring interest spread risk. The mathematical descriptions of Interest spread risk differ with pricing methods of life insurance products. There is not anticipated profits composition in price structure with Cost plus method, so we can take standard variation of actuarial present value of life insurance to describe risk amount. Pricing with Cash flow method, we can more directly measure risk amount with standard variation of present value of policy profits. Using central limit theorem, we can estimate how much probability total present value of policy profits of a sort of policies exceeds its expectation by some certain value. The length of term of premium payment influences amount of interest spread risk. Generally, single premium...
Keywords/Search Tags:: Interest spread risk of life insurance, Actuarial analyze, Description and Measurement of risk, Present value of policy profits, Valuation of reserve of life insurance, Risk cost of Interest spread
PDF Full Text Request
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