外文翻译---人寿保险公司利率敏感产品定价

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1、外文文献ThePricingforInterestSensitiveProductsofLifeInsuranceFirmsJamesC.HaoAssociateProfessor，DepartmentofInsurance，TamkangUniversityE-mail：cjhao@mail.tku.edu.twReceivedFebruary10，2011；revisedApril15，2011；acceptedApril26，2011Themajorpurposeofthispaperistoconstructinterestrateriskmodelsforinterestsensit

2、iveproductsissuedbylifeinsurancefirmsinTaiwan.Withinterestdeclinesinlate1990s，singlepaidinterestsensitiveannuitytakesupabout20%ofnewpolicypremiumsinTaiwan；Thisimpliesitsriskandprofitabilitybecomecriticaltoinsurers’financialhealth.ThepaperconstructstheBlack-Derman-Toymodelcombiningwithoptional-adjust

3、edspreadanalysismodeltopricethespreadonassetrequiredtoyieldtomakesuchproductsbreakeven，withfurtherextensiontomeasuretheimpactofinterestshockonassetliabilitymanagement.Wechoosetwodifferentcreditingstrategyproductstoillustratetheoptionvalueoftheinsurancefirms-theoptiontoresetratesbasedonthepathofinter

4、estratesandtheexpenseschargesaswellastheoptionofpolicyholders-theoptiontosurrenderpolicyifnotsatisfiedwithcreditingrate.WithourimplementTablemodels，insurancefirmwillhavecapacitytoquantifyitsriskexposureandsourceofprofitabilityaswellastoseekanoptimalstrategybalancingsalevolumeandaggressivenessofcredi

5、tingpolicy.Interestrateriskisanimportantconcernforlifeinsurancefirms.Insurersissuedebtinstrumentsforwhichtheamountandtimingsofbenefitspaymentareunknownattimeofpolicyissuanceandinvestthepremiumstomaximizethereturn.Theassetcashflowiscomposedofinvestmentincomeandprincipalrepaymentswhiletheliabilitycash

6、flowinanyfuturetimeisdefinedasthesumofthepolicyclaims，policysurrendersandexpensesminusthepremiumincomeexpectedtooccurinthattimeperiod.Wheninterestratesfallasthenetcashflowsarepositive，thenetflowswillhavetobereinvestedatrateslowerthantheinitialrates.Thereinvestmentriskemerges.Ontheotherhand，negativen

7、etcashflowsmeanshortagesofcashneededtomeetliabilityobligations.Acashshortagerequirestheliquidationofassetsorborrowing.Ifinterestratesrisewhenthenetcashflowsarenegative，capitallossescanoccurasaresultof