外文翻譯---人壽保險(xiǎn)公司利率敏感產(chǎn)品定價(jià)-wenkub
2023-01-30 02:21:39 本頁(yè)面
【正文】 ive annuity takes up about 20% of new policy premiums in Taiwan；This implies its risk and profitability bee critical to insurers’ financial health. The paper constructs the BlackDermanToy model bining with optionaladjusted spread analysis model to price the spread on asset required to yield to make such products break even，with further extension to measure the impact of interest shock on asset liability management. We choose two different crediting strategy products to illustrate the option value of the insurance firms the option to reset rates based on the path of interest rates and the expenses charges as well as the option of policyholdersthe option to surrender policy if not satisfied with crediting rate. With our implement Table models， insurance firm will have capacity to quantify its risk exposure and source of profitability as well as to seek an optimal strategy balancing sale volume and aggressiveness of crediting policy.Interest rate risk is an important concern for life insurance firms. Insurers issue debt instruments for which the amount and timings of benefits payment are unknown at time of policy issuance and invest the premiums to maximize the return. The asset cash flow is posed of investment ine and principal repayments while the liability cash flow in any future time is defined as the sum of the policy claims，policy surrenders and expenses minus the premium ine expected to occur in that time period. When interest rates fall as the net cash flows are positive，the net flows will have to be reinvested at rates lower than the initial rates. The reinvestment risk emerges. On the other hand，negative net cash flows mean shortages of cash needed to meet liability obligations. A cash shortage requires the liquidation of assets or borrowing. If interest rates rise when the net cash flows are negative，capital losses can occur as
公司管理相關(guān)推薦
鄂ICP備17016276號(hào)-1