我国寿险公司利率风险的探究

发布时间：2019-06-02 10:41

【摘要】：随着我国经济的不断发展,人们保险意识的不断加强,进入21世纪以后,我国的寿险产业也在不断地扩大。利率波动始终是寿险公司经营管理的一大风险因素,寿险公司从保单中承诺了保证的最低投资收益率的那一刻起,利率风险也就如影随形了。寿险产品的定价和一般产品的定价之间有一个很大的差别,那就是定价在前而实际的成本发生在后,所以寿险企业需要对未来的成本进行预测,一般需要考虑未来的死亡率、投资收益率以及附加费用率。而其中最重要并且最不容易估计的就是实际投资收益率,它与预定利率之间的差额,就形成了利差损。由于利率的市场化推进,利率的变动将会随着市场的变动而变得更加频繁。因此,为了让我国的寿险企业能够在利率变动时不受损失,找到适合我国国情的利率风险管理工具就变得十分重要。为了找到适合的管理利率风险的方法,我们就需要对利率风险的成因有比较深刻的了解。与此同时,寻找能够精确度量利率风险的度量工具也十分关键。有了精确的量化分析,在选择风险管理工具的时候,就会更加清楚的知道各种工具管理风险的能力大小。因为利率风险从保险产品的设计到保险金给付都有影响,所以利率风险是保险企业比较重要的风险之一。同时由于保险公司所涉及到的主体非常广泛,为了稳定社会的健康发展,对保险公司的利率风险进行管理是非常必要的。本文以寿险公司的利率风险为主线,对寿险企业利率风险的成因、利率变动对寿险企业的影响,我国利率运行情况并且运用模型对未来的趋势进行了预测,同时对如何度量和管理利率风险做了深入的研究和分析。特别是用管理模型结合利率模型的预测来管理利率风险。本文主要是利用精算、金融相关知识,对利率风险进行了定性以及定量的分析,在研究我国利率运行情况的基础上,预测出了我国短期内未来的利率趋势,并且介绍了VaR在度量和久期管理利率风险当中的运用,在了解了未来利率变动的趋势的基础上,利用管理工具来进行利率风险管理。本文分为六章,其主要内容是：第一章,导论。主要介绍本文的研究目的与意义、研究内容、研究的创新与不足。分析了目前对于寿险公司利率风险研究的现状,并指出了研究中的不足之处,提出继续对寿险公司利率风险进行研究是非常必要的。第二章,我国寿险公司利率风险的概述。主要介绍了我国寿险公司利率风险的含义、形成原、表现形式及其特征,并且研究了利率变动对寿险产品定价、寿险产品的供求、投保人、寿险公司负债、寿险公司现金流、寿险公司偿付能力以及寿险公司的盈余的影响。第三章,利率风险的度量。主要介绍了现有的多种利率风险的度量方法,如期限度量方法、均值方差度量方法、情景分析模型、价值分析方法。其中对VaR进行了详细的研究,并且通过实例来展示VaR的计算过程。在进行情景分析模型时,给出了详细的分析步骤,并对各个步骤可以使用的方法进行了归纳总结。第四章,利率风险的管理方法。先是将利率风险的管理方法分为三个大类,规避利率风险的管理方法,控制利率风险的管理方法,转移利率风险的管理方法。在规避利率风险的管理方法中,运用了资产负债管理,久期免疫管理措施,其中,对久期免疫策略采用了实例来进行演示,展现出免疫策略管理风险的过程。控制利率风险的管理方法主要是缺口模型,VaR管理。转移利率风险主要就是通过再保险、金融衍生工具的方式。第五章,结论。从文章中可以看出,由于预测到未来利率会上升,因此采用缺口管理办法对利率风险进行管理。使利率敏感性缺口为正,久期缺口为负,这样就意味着要增加利率敏感性资产或者是减少利率敏感性负债,如此一来就可以在未来利率上升时,使寿险公司获得更多的利益。本文的创新之处有以下几点：(1)本文不仅对我国的利率运行情况进行了分析,并且利用数据对我国未来的利率变化进行了预测。(2)对VaR度量和久期免疫管理利率风险进行了研究,通过实例对VaR的计算过程以及久期免疫策略的运作过程做了详细的说明。(3)在预测了我国利率未来的变化情况以后,利用以缺口为基础的管理模型对利率风险进行管理。不足之处就是,虽然对利率进行了预测,但是,主要是用于未来短时间的利率变动,本文只有对久期免疫模型进行了实例分析,并没有对其他的模型进行实例分析。
[Abstract]:With the development of our country's economy, people's insurance consciousness is continuously strengthened, and after the 21 st century, the life insurance industry of our country is expanding continuously. The fluctuation of interest rate is always a major risk factor for the management of life insurance companies, and the risk of interest rate is also in shape from the moment the life insurance company promises the guaranteed minimum investment rate of return from the policy. There is a big difference between the pricing of life insurance products and the pricing of the general products, which is that the real cost of the pricing is behind, so the life insurance company needs to forecast the cost of the future, and it is generally necessary to take into account the future death rate, the investment return rate and the additional cost rate. The most important and most difficult to estimate is the real return on investment and the difference between it and the pre-determined interest rate, resulting in a loss of profit. The change of interest rate will become more frequent as the market changes due to the marketization of interest rate. Therefore, it is very important to find the interest-rate risk management tool suitable for China's national conditions in order to allow the life-insurance enterprises of our country to be free from the loss in the interest rate change. In order to find a suitable method of managing interest rate risk, we need to have a deep understanding of the cause of interest rate risk. At the same time, it is also critical to find a metrology tool that is able to measure the risk of interest rate. With an accurate quantitative analysis, the ability to manage risk for various tools will be more clearly known when the risk management tool is selected. The risk of interest rate is one of the most important risks for insurance companies because the risk of interest rate is affected by the design of the insurance products to the payment of the insurance benefits. At the same time, because the main body involved in the insurance company is very broad, it is necessary to manage the interest rate risk of the insurance company in order to stabilize the healthy development of the society. This paper takes the interest rate risk of life insurance company as the main line, the cause of interest rate risk of life insurance enterprise, the influence of interest rate change on life insurance enterprise, the operation of interest rate of our country, and uses the model to forecast the future trend. At the same time, we study and analyze how to measure and manage the risk of interest rate. In particular, the management model is used to combine the prediction of the interest rate model to manage the interest rate risk. This paper mainly uses the actuarial and financial related knowledge to make a qualitative and quantitative analysis of the interest rate risk. On the basis of the study of the operation of interest rate in China, the trend of interest rate of the future in the short term of our country is predicted. The paper also introduces the application of VaR in the measurement and the long-term management interest rate risk. On the base of understanding the trend of the future interest rate change, the management tool is used to carry out the interest rate risk management. The article is divided into six chapters and its main contents Yes: Chapter One The introduction mainly introduces the purpose and significance of the research, the research contents and the innovation of the research. This paper analyzes the present situation of interest rate risk of life insurance company, and points out the deficiency in the research, and puts forward that it is very important to study the interest rate risk of life insurance company. The second chapter, the interest rate of China's life insurance company The paper mainly introduces the meaning of interest rate risk of life insurance company in our country, forms the former, the form and its characteristics, and studies the interest rate change to the life insurance product pricing, the supply and demand of life insurance products, the policy-holder, the life insurance company's liability and the life insurance. Company Cash Flow, Life Insurance Company Solvency, and Life Insurance Company The impact of the surplus. Chapter III, interest rate The measure of risk is mainly introduced, such as time limit measure method, mean variance measure method, scenario analysis model and price. The value analysis method, in which the VaR is studied in detail, and the VaR is displayed through an example In the context of the context analysis model, a detailed analysis step is given, and the methods that can be used for each step are given. The fourth chapter, the interest rate The management method of risk is divided into three main categories: the management method of the risk of interest rate, the method of managing the risk of interest rate, the method of managing the risk of interest rate, and the transfer rate. In the method of the management of the risk of avoiding interest rate, the asset-liability management and the long-term immune management measures are used, in which, an example of the long-term immune strategy is used for demonstration, and the immune strategy is displayed. The process of management risk. The management method of controlling interest rate risk is mainly the notch mode The risk of transfer rate is mainly through reinsurance and finance. Method of Deriving a Tool Chapter V, Conclusion. It can be seen from the article that, as a result of the projected rise in interest rates in the future, a gap management approach is adopted The interest rate risk is managed. The interest rate sensitivity gap is positive and the long-term gap is negative, which means that interest rate-sensitive assets are to be increased or interest-rate-sensitive debt is reduced, so that life insurance can be made when interest rates rise in the future The innovation of this paper has the following points: (1) This paper not only analyzes the operation of interest rate of our country, but also makes use of the data to do not The changes of interest rate are predicted. (2) The risk of the VaR and the long-term immune management interest rate are studied, and the calculation process of VaR and the long-term immune strategy are analyzed by the examples. The operation process is described in detail. (3) After the change of interest rate in China is predicted, the gap-based management is used. In this paper, the interest rate risk is managed. The deficiency is that, although the interest rate is predicted, it is mainly used for the change of interest rate in the short time. This paper only has an instance analysis of the long-term immune model, and it is not
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.3

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