Minimum Capital Research Of Life Insurance Company Under Stochastic Interest Rate

Life insurance industry plays an important role in the national economy.It not only integrates the collection risk and the dispersion risk,but also plays the role of stabilizer for the normal operation of macro-economy and society.Since 2016,China’s life insurance industry officially began to implement China’s risk oriented solvency system,the CBRC has higher requirements on the solvency of life insurance companies.Considering the stage of economic development in China,the overall development of life insurance industry and the historical data of life insurance companies,the second generation of compensation provides a unified method to calculate the minimum interest rate risk capital for all life insurance companies.In this method,the evaluation curve of assets and liabilities at the evaluation time point under the basic scenario is formed by using the "second generation of compensation" technical standard,the evaluation curve of assets and liabilities under the adverse scenario is calculated by using the interest rate risk stress test,and the minimum capital is calculated by comparing the basic scenario and the adverse scenario.However,there are great differences among various life insurance companies in terms of management mode,asset liability matching degree and operation scale.For some life insurance companies,this one size fits all approach may lead to the minimum capital of interest rate risk far exceeding the actual or insufficient,and then lead to capital waste or insufficient ability to deal with interest rate risk.Therefore,life insurance companies should take the initiative to establish a set of internal model suitable for their own operating conditions and characteristics to calculate the minimum interest rate risk capital.In this paper,Monte Carlo simulation method,which is different from the standard method,is used to measure the minimum capital of interest rate risk of life insurance companies.The single factor Vasicek model is used to model the yield of treasury bonds of different periods.Monte Carlo method is used to simulate the random interest rate path,synthesize multiple asset and negative debt evaluation curves,and select the risk value of 99.5% confidence level to calculate the minimum capital.It is divided into six chapters.The contents of each chapter are as follows:The first chapter is the introduction.Firstly,this chapter gives a brief overview of the background of China’s life insurance industry,and expounds the significance of the study of interest rate risk minimum capital for life insurance companies to deal with interest rate risk.Then,the current situation and progress of literature research in related fields at home and abroad are reviewed and evaluated,and on this basis,the research content and framework of this paper are proposed and determined.At last,the possible innovation and shortcomings of this paper are briefly explained.The second chapter is about the term structure of interest rate and the minimum capital of the second generation.This chapter first introduces the term structure theory of interest rate and the term structure model of interest rate.Then it introduces the supervision system of "second generation compensation",the actual capital and the minimum capital of insurance companies stipulated by the CIRC.When introducing the minimum capital of life insurance companies,the calculation formulas of the minimum capital of market risk and the minimum capital of interest rate risk under "two generations of compensation" are given.The third chapter is the evaluation model of assets and liabilities.This chapter first introduces the evaluation method of assets and liabilities under the second generation of compensation,and then uses this method to generate the data and curves of assets and liabilities evaluation under the basic and adverse scenarios at the evaluation time point.The fourth chapter is the empirical analysis of Vasicek model.Firstly,this chapter summarizes the Vasicek model and discretizes it.Then,the generalized moment estimation method used in model parameter estimation is explained.Finally,the data are selected,and the unit root test is performed on the selected data,and the parameters of Vasicek model are estimated by the generalized method of moments.The fifth chapter is the minimum capital model of interest rate risk.Firstly,this chapter assumes a pair of portfolio products and liability portfolio products as an example to calculate the minimum capital of life insurance companies.Then calculate the asset and liability cash flow of the life insurance company.Finally,based on the Monte Carlo simulation method,on the basis of the simulation of the discount rate curve of assets and liabilities,we calculate the minimum capital under the condition that the partial market is consistent and the complete market is consistent.The sixth chapter,conclusions and prospects,first analyzes the research conclusions,and finally prospects the future research directions.In this paper,Vasicek Interest Rate Term Structure Model and Monte Carlo method are applied to the measurement of interest rate risk minimum capital of life insurance companies,which provides a new idea and method for life insurance companies to establish a measurement model of interest rate risk minimum capital in line with the characteristics of enterprises,so that they can more accurately calculate the actual required minimum capital with themselves as the main body.