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；acceptedApril26，2011Themajorpurposeofthispaperisto

2、constructinterestrateriskmodelsforinterestsensitiveproductsissuedbylifeinsurancefirmsinTaiwan.Withinterestdeclinesinlate1990s，singlepaidinterestsensitiveannuitytakesupabout20%ofnewpolicypremiumsinTaiwan；Thisimpliesitsriskandprofitabilitybecomecriticalt

3、oinsurers’financialhealth.ThepaperconstructstheBlack-Derman-Toymodelcombiningwithoptional-adjustedspreadanalysismodeltopricethespreadonassetrequiredtoyieldtomakesuchproductsbreakeven，withfurtherextensiontomeasuretheimpactofinterestshockonassetliability

4、management.Wechoosetwodifferentcreditingstrategyproductstoillustratetheoptionvalueoftheinsurancefirms-theoptiontoresetratesbasedonthepathofinterestratesandtheexpenseschargesaswellastheoptionofpolicyholders-theoptiontosurrenderpolicyifnotsatisfiedwithcr

5、editingrate.WithourimplementTablemodels，insurancefirmwillhavecapacitytoquantifyitsriskexposureandsourceofprofitabilityaswellastoseekanoptimalstrategybalancingsalevolumeandaggressivenessofcreditingpolicy.Interestrateriskisanimportantconcernforlifeinsura

6、ncefirms.Insurersissuedebtinstrumentsforwhichtheamountandtimingsofbenefitspaymentareunknownattimeofpolicyissuanceandinvestthepremiumstomaximizethereturn.Theassetcashflowiscomposedofinvestmentincomeandprincipalrepaymentswhiletheliabilitycashflowinanyfut

7、uretimeisdefinedasthesumofthepolicyclaims，policysurrendersandexpensesminusthepremiumincomeexpectedtooccurinthattimeperiod.Wheninterestratesfallasthenetcashflowsarepositive，thenetflowswillhavetobereinvestedatrateslowerthantheinitialrates.Thereinvestment

8、riskemerges.Ontheotherhand，negativenetcashflowsmeanshortagesofcashneededtomeetliabilityobligations.Acashshortagerequirestheliquidationofassetsorborrowing.Ifinterestratesrisewhenthenetcashflowsarenegative，capitallossescanoccurasaresultof