外文翻譯---人壽保險公司利率敏感產(chǎn)品定價(完整版)
【正文】 model to demonstrate risk measurement procedures and analysis results，with further extension to measure the impact of interest shock on asset liability management of SPDA.As shown in our model，the RSA for aggressive crediting strategy requires 144bp while more conservative crediting strategy only requires 37bp and effective duration of both SPDA approximates implies aggressive and conservative products should yield at least 144bp and 37bp over Treasuries respectively，on a risk optionadjusted basis to break even，and the effective duration of asset dedicated to such products approximates analysis results convey two facts. First， the lower RSA is evidence of the value of the insurance firm’s option the option to reset rates based on the path of interest rates and the prevailing surrender charge Second，Challenge of managing interest risk of such interest sensitive products is to dynamically balance the interest ine and duration match. Given the mon practice of longer asset duration allocation among life insurers，the impact on both sides of balance sheet due to interest shocks are analyzed and reported. Additionally，I also indicate if the issuers are able to reduce the overheadrelated expenses，such as maintenance expenses per policy or unit mission rate，through generating large premium volume，then RSA will be effectively mitigated. Not only has this proved the expenses spread can increase the potential profitability of SPDA but insurers would need to focus on strategies to balance sale volume and aggressiveness of crediting policy. In all，this paper makes valuable contributions to insurer firms by constructing an implement Table model to quantify risk exposure and sources of profitability of interest sensitive products.Further research might explore the impact of dynamic reset strategies on RSA，for example to adopt strategy following new
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