外文翻譯---人壽保險(xiǎn)公司利率敏感產(chǎn)品定價(jià)-在線瀏覽
2025-03-04 02:21本頁面
【正文】 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 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，
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