外文翻譯---人壽保險公司利率敏感產(chǎn)品定價

1、<p><b>　　外文文獻</b></p><p>　　The Pricing for Interest Sensitive Products of Life Insurance Firms</p><p>　　James C. Hao </p><p>　　Associate Professor， Department of In

2、surance， Tamkang University</p><p>　　E-mail： cjhao@mail.tku.edu.tw </p><p>　　Received February 10， 2011；revised April 15， 2011；accepted April 26， 2011</p><p>　　The major purpose of

3、this paper is to construct interest rate risk models for interest sensitive products issued by life insurance firms in Taiwan. With interest declines in late 1990s，single paid interest sensitive annuity takes up about 20

4、% of new policy premiums in Taiwan；This implies its risk and profitability become critical to insurers’ financial health. The paper constructs the Black-Derman-Toy model combining with optional-adjusted spread analysis m

5、odel to price the spread on asset requi</p><p>　　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

6、unknown at time of policy issuance and invest the premiums to maximize the return. The asset cash flow is composed of investment income and principal repayments while the liability cash flow in any future time is defined

7、 as the sum of the policy claims，policy surrenders and expenses minus the premium income expected to occur in that time pe</p><p>　　Taiwan insurance companies are exposed largely to interest risk even though

8、 the popular products change over time. Prior to 1990，market was featured with fixed interest rate products which guarantee 20 or more years of fixed return to policyholders. With interest starts to decline in late 1990s

9、，Taiwan insurers realize that high fixed interest products are too costly to issue but low fixed-interest rate products won’t be attractive to potential buyers. With the sale pressure，insurance companies s</p><

10、;p>　　With single premium payment， SPDA policyholders earn interest at the company-declared annual interest rate which is guaranteed for one year at a time. Before the annuity commencement date，policyholders can with-d

11、raw 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 con-tract early. As interest rates rise， SPDA owners t

12、end to surrender and reinvest in higher yielding investments which i</p><p>　　Santomero and Bebbel (1997) state that insurers have a sense of urgency to apply the tools of asset/liability management to manag

13、e 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 par

14、allel and deterministic manner，which implies that asset and liability cash flows are independent of interest rate fluctuations. This condition and appr</p><p>　　Conclusions</p><p>　　With interes

15、t 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 sensit

16、ive family quickly takes up about 20% of new premiums and becomes dominant product in the market. Due to its vital impact on life insurers’ financial status but little literature devoted to risk and profit identification

17、，this paper develops BDT model and optional-adju</p><p>　　As shown in our model，the RSA for aggressive crediting strategy requires 144bp while more conservative crediting strategy only requires 37bp and effe

18、ctive duration of both SPDA approximates 1.This implies aggressive and conservative products should yield at least 144bp and 37bp over Treasuries respectively，on a risk option-adjusted basis to break even，and the effecti

19、ve duration of asset dedicated to such products approximates 1.The analysis results convey two facts. First， the lower RSA is evide</p><p>　　Further research might explore the impact of dynamic reset strateg

20、ies on RSA，for example to adopt strategy following new money rates less closely instead of 100% pegging new money rate. And other interest generating models could be tried out as well.</p><p>　　人壽保險公司利率敏感產(chǎn)品定

21、價</p><p><b>　　詹姆斯C郝</b></p><p>　　淡江大學(xué)保險系副教授</p><p>　　電子郵件：cjhao@mail.tku.edu.tw</p><p>　　2011年2月10日發(fā)送；2011年4月15日修訂；2011年4月26日完稿</p><p>　　本文的主要目

22、的是構(gòu)建由臺灣人壽保險公司發(fā)行的利率敏感產(chǎn)品的利率風(fēng)險模型。20世紀初利率下降，單利息敏感的年金約占臺灣保險市場保費的20%；這意味著其風(fēng)險和盈利能力，成為保險公司的財務(wù)考核的關(guān)鍵指標(biāo)。本文結(jié)合國家調(diào)整價差OP分析模型，進一步擴展到測量的影響，利率沖擊對資產(chǎn)負債管理的影響。我們選擇了兩個不同的授信策略的產(chǎn)品說明保險公司的期權(quán)價值的期權(quán)重置基于利率路徑費率和費用以及政治決策者選擇投降政策，如果計入率不滿意的選項。我們的實現(xiàn)模型，保險公司將

23、必須量化的風(fēng)險和利潤源泉以及尋求一個最佳的戰(zhàn)略平衡銷售量和侵略性的信貸政策的能力。</p><p>　　利率風(fēng)險是人壽保險公司的一個重要問題。保險公司發(fā)行的債務(wù)工具的數(shù)額和支付時間未知的利益在政策發(fā)布時間和投資溢價收益最大化。資產(chǎn)的現(xiàn)金流是由投資收益和本金而在將來的任何時刻的負債現(xiàn)金流被定義為的政策主張和政策，投降和費用減去保費收入預(yù)計將在這段時間內(nèi)發(fā)生的。當(dāng)利率降為凈現(xiàn)金流為正，凈流量將被再投資率低于初始速率。

24、再投資風(fēng)險的出現(xiàn)。另一方面，負的凈現(xiàn)金流量意味著需要滿足籌措現(xiàn)金短缺的責(zé)任義務(wù)?，F(xiàn)金短缺需要借款清算資產(chǎn)。如果利率上升時，凈現(xiàn)金流為負，資本損失由于能對債券和其他固定收益證券的價值已經(jīng)下降清算發(fā)生。和價格風(fēng)險的發(fā)生。</p><p>　　臺灣保險公司暴露的主要利率風(fēng)險雖然流行的產(chǎn)品隨著時間的變化而變化。1990之前，市場具有固定利率產(chǎn)品保證20年以上的固定收益保險。有興趣在20世紀90年代后期開始下降，臺灣保險業(yè)

25、實現(xiàn)高的固定利率產(chǎn)品的成本太高，但低的固定利率產(chǎn)品的問題不會有吸引力的潛力買家。隨著銷售壓力，保險公司開始發(fā)行單元產(chǎn)品和利率敏感的產(chǎn)品來吸引買家。單一支付延期年金（SPDA）屬于利率敏感的家庭很快就占據(jù)了幾乎20%的新的保險費在市場和其風(fēng)險成為保險公司破產(chǎn)的重要。</p><p>　　單支付保險費，參保人賺取利息SPDA在公司宣布的年利率是保用一年一次。年金保單生效日期之前，可以將所有它的年金價值或部分。與上述特

26、征SPDA涉及兩個選項。一種選擇是在保單持有人的手，選擇放棄合同早。當(dāng)利率上升時，業(yè)主往往SPDA投降，投資高收益的投資，這是類似于抵押貸款借款人的行為。另一個選擇是在保險公司的手中，重置利率的權(quán)利。重置政策是市場競爭力的作用，保險公司的投資業(yè)績和法規(guī)限制。</p><p>　　圣多馬羅和bebbel（1997）指出，保險公司有一種緊迫感，運用資產(chǎn)負債管理工具來管理利率風(fēng)險。傳統(tǒng)的利率風(fēng)險管理與評估方法，即標(biāo)準(zhǔn)免

27、疫方法，是基于假設(shè)的收益率曲線是平的，利率在一個平行的和確定的方式的改變，這意味著資產(chǎn)負債現(xiàn)金流無關(guān)，利率波動。這一狀況，探討并不持有的資產(chǎn)，如可贖回債券和利率敏感負債如SPDA。本文運用無套利利率期權(quán)調(diào)整價差分析模型來展示如何將這些模型來衡量風(fēng)險和量化的新興的利潤或虧損由利率敏感的生活產(chǎn)品的來源。</p><p><b>　　結(jié)論</b></p><p>　　有興趣

28、在20世紀90年代后期開始下降，臺灣在surers開始發(fā)行利率敏感的產(chǎn)品來代替?zhèn)鹘y(tǒng)的固定利率產(chǎn)品壽命。單一支付延期年金（SPDA）屬于利率敏感的家庭很快就占了20%，而新系統(tǒng)成為主導(dǎo)產(chǎn)品在市場。由于其重要的影響壽險公司的財務(wù)狀況卻很少文獻的風(fēng)險與收益的識別，本文開發(fā)了BDT模型和可選的調(diào)整價差分析模型證明風(fēng)險測量程序和分析結(jié)果，進一步擴展測量對SPDA資產(chǎn)負債管理利率沖擊的影響。</p><p>　　在我們的模型

29、顯示，積極的寫作策略的RSA需要信用144bp而更保守的信貸策略只需要37bp和兩SPDA有效的硬腦膜重刑接近1。這意味著兇猛一些保守的產(chǎn)品應(yīng)至少144bp和37bp國債分別，在打破甚至風(fēng)險期權(quán)調(diào)整的基礎(chǔ)上，與資產(chǎn)專用產(chǎn)品的近似的伴侶1有效時間。分析結(jié)果傳達兩個事實。第一，較低的RSA是保險公司的選擇，選擇重置利率路徑率和當(dāng)時的退保費用第二價值的證據(jù)，這樣的利率敏感產(chǎn)品的利率風(fēng)險管理面臨的挑戰(zhàn)是動態(tài)平衡的利息收入和時間比賽。由于長時間分

30、配資產(chǎn)壽險公司通常的做法，在資產(chǎn)負債表中由于雙方利益的沖擊的影響進行了分析和報告。另外，我也表明，如果發(fā)行人能夠減少超過頭部的相關(guān)費用，如維修費用政策或單位的傭金率，通過產(chǎn)生大量的保費，然后將有效地減輕RSA。這不僅可以證明傳播費用增加SPDA但保險公司潛在的盈利需要聚焦于戰(zhàn)略平衡銷售量授信政策和攻擊性?？傊疚耐ㄟ^構(gòu)建一個可實現(xiàn)的模型來量化風(fēng)險暴露前和利率敏感產(chǎn)品盈利來源使保險公司有價值的貢獻。</p><p&g