外文翻譯---人壽保險(xiǎn)公司利率敏感產(chǎn)品定價(jià)(編輯修改稿)
2025-02-11 02:21 本頁面
【文章內(nèi)容簡介】 is similar to the mortgage borrowers behavior. The other option is in the insurance pany’s hands，the right to reset interest rates. The reset policy is function of market petitiveness，insurer’s investment performance and regulation limitations.Santomero and Bebbel (1997) state that insurers have a sense of urgency to apply the tools of asset/liability management to manage interest rate risk. The traditional approach to interest rate risk management and valuation，namely standard immunization method，is based on the assumption that the yield curve is flat and interest rates change in a parallel and deterministic manner，which implies that asset and liability cash flows are independent of interest rate fluctuations. This condition and approach certainly does not hold for assets such as callable bonds and interest sensitive liabilities such as SPDA. This paper applies arbitrage free interest rate and optionadjusted spread analysis model to demonstrate how these models are constructed to measure the risks and to quantify emerging profits or losses by source for interest sensitive life products.ConclusionsWith interest starts to decline in late 1990s，Taiwan insurers start to issue interest sensitive products to replace the traditional fixed interest life products. Single paid deferred annuities (SPDA) which belongs to interest sensitive family quickly takes up about 20% of new premiums and bees dominant product in the market. Due to its vital impact on life insurers’ financial status but little literature devoted to risk and profit identification，this paper develops BDT model and optionaladjusted spread analysis 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 strateg
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