外文翻譯---人壽保險(xiǎn)公司利率敏感產(chǎn)品定價(jià)-展示頁(yè)
2025-01-24 02:21本頁(yè)面
【正文】 ze that high fixed interest products are too costly to issue but low fixedinterest rate products won’t be attractive to potential buyers. With the sale pressure，insurance panies start to issue unitlinked products as well as interest sensitive products to attract buyers. Single paid deferred annuities (SPDA) which belongs to interest sensitive family quickly takes up almost 20% of new premiums in the market and therefore its risk exposure bees vital to insurers’ insolvency. With single premium payment， SPDA policyholders earn interest at the panydeclared annual interest rate which is guaranteed for one year at a time. Before the annuity mencement date，policyholders can withdraw all of the annuity value or part of it. With the above features SPDA involves two options. One option is in the policy holder’s hands，the option to surrender the contract early. As interest rates rise， SPDA owners tend to surrender and reinvest in higher yielding investments which 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
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