Interest rate risk analysis of deferred annuity and whole life insurance

• Main Authors: Chiang, Ting Yi, 蔣庭依
• Other Authors: 蔡政憲
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/pm2gr5

碩士 === 國立政治大學 === 風險管理與保險學系 === 105 === With interest rates falling frequently, the life insurance company previously issued the policy is facing the problem of interest loss. In response to the possibility of future large payment of responsibility, it is important to pay attention to the sensitivity of the reserve to interest rate changes. With deferred annuity and whole life insurance products as an example, we analyze the impact of interest rate fluctuations on the liability of insurance companies, estimates the distribution of reserves and the risk of changes in reserve value based on different policy year and different actuarial assumption interest rate. In this paper, the Orthogonal-GARCH model is used to estimate the interest rate dynamics by selecting the representative factor to fit the time series model. The Monte Carlo method is used to simulate the interest rate stochastic situation, and the long-term interest rate is adopted by Smith-Wilson method to obtain the complete interest rate term structure. To quantify the risk of future liability by VaR, the results show that the high actuarial assumption interest rate policy to bear more risk, and over time the impact of reserve risk on overall liability will be reduced. In addition, in the middle of the policy year, the impact of interest rate fluctuations on the reserve effect is obvious, as a critical period of insurance product life cycle, so this period is more important for the management of interest rate risk.