【摘要】：隨著我國經(jīng)濟的不斷發(fā)展,人們保險意識的不斷加強,進入21世紀以后,我國的壽險產(chǎn)業(yè)也在不斷地擴大。利率波動始終是壽險公司經(jīng)營管理的一大風險因素,壽險公司從保單中承諾了保證的最低投資收益率的那一刻起,利率風險也就如影隨形了。壽險產(chǎn)品的定價和一般產(chǎn)品的定價之間有一個很大的差別,那就是定價在前而實際的成本發(fā)生在后,所以壽險企業(yè)需要對未來的成本進行預測,一般需要考慮未來的死亡率、投資收益率以及附加費用率。而其中最重要并且最不容易估計的就是實際投資收益率,它與預定利率之間的差額,就形成了利差損。由于利率的市場化推進,利率的變動將會隨著市場的變動而變得更加頻繁。因此,為了讓我國的壽險企業(yè)能夠在利率變動時不受損失,找到適合我國國情的利率風險管理工具就變得十分重要。為了找到適合的管理利率風險的方法,我們就需要對利率風險的成因有比較深刻的了解。與此同時,尋找能夠精確度量利率風險的度量工具也十分關鍵。有了精確的量化分析,在選擇風險管理工具的時候,就會更加清楚的知道各種工具管理風險的能力大小。因為利率風險從保險產(chǎn)品的設計到保險金給付都有影響,所以利率風險是保險企業(yè)比較重要的風險之一。同時由于保險公司所涉及到的主體非常廣泛,為了穩(wěn)定社會的健康發(fā)展,對保險公司的利率風險進行管理是非常必要的。本文以壽險公司的利率風險為主線,對壽險企業(yè)利率風險的成因、利率變動對壽險企業(yè)的影響,我國利率運行情況并且運用模型對未來的趨勢進行了預測,同時對如何度量和管理利率風險做了深入的研究和分析。特別是用管理模型結合利率模型的預測來管理利率風險。 本文主要是利用精算、金融相關知識,對利率風險進行了定性以及定量的分析,在研究我國利率運行情況的基礎上,預測出了我國短期內(nèi)未來的利率趨勢,并且介紹了VaR在度量和久期管理利率風險當中的運用,在了解了未來利率變動的趨勢的基礎上,利用管理工具來進行利率風險管理。本文分為六章,其主要內(nèi)容是： 第一章,導論。主要介紹本文的研究目的與意義、研究內(nèi)容、研究的創(chuàng)新與不足。分析了目前對于壽險公司利率風險研究的現(xiàn)狀,并指出了研究中的不足之處,提出繼續(xù)對壽險公司利率風險進行研究是非常必要的。 第二章,我國壽險公司利率風險的概述。主要介紹了我國壽險公司利率風險的含義、形成原、表現(xiàn)形式及其特征,并且研究了利率變動對壽險產(chǎn)品定價、壽險產(chǎn)品的供求、投保人、壽險公司負債、壽險公司現(xiàn)金流、壽險公司償付能力以及壽險公司的盈余的影響。第三章,利率風險的度量。主要介紹了現(xiàn)有的多種利率風險的度量方法,如期限度量方法、均值方差度量方法、情景分析模型、價值分析方法。其中對VaR進行了詳細的研究,并且通過實例來展示VaR的計算過程。在進行情景分析模型時,給出了詳細的分析步驟,并對各個步驟可以使用的方法進行了歸納總結。 第四章,利率風險的管理方法。先是將利率風險的管理方法分為三個大類,規(guī)避利率風險的管理方法,控制利率風險的管理方法,轉移利率風險的管理方法。在規(guī)避利率風險的管理方法中,運用了資產(chǎn)負債管理,久期免疫管理措施,其中,對久期免疫策略采用了實例來進行演示,展現(xiàn)出免疫策略管理風險的過程。控制利率風險的管理方法主要是缺口模型,VaR管理。轉移利率風險主要就是通過再保險、金融衍生工具的方式。 第五章,結論。從文章中可以看出,由于預測到未來利率會上升,因此采用缺口管理辦法對利率風險進行管理。使利率敏感性缺口為正,久期缺口為負,這樣就意味著要增加利率敏感性資產(chǎn)或者是減少利率敏感性負債,如此一來就可以在未來利率上升時,使壽險公司獲得更多的利益。 本文的創(chuàng)新之處有以下幾點：(1)本文不僅對我國的利率運行情況進行了分析,并且利用數(shù)據(jù)對我國未來的利率變化進行了預測。(2)對VaR度量和久期免疫管理利率風險進行了研究,通過實例對VaR的計算過程以及久期免疫策略的運作過程做了詳細的說明。(3)在預測了我國利率未來的變化情況以后,利用以缺口為基礎的管理模型對利率風險進行管理。 不足之處就是,雖然對利率進行了預測,但是,主要是用于未來短時間的利率變動,本文只有對久期免疫模型進行了實例分析,并沒有對其他的模型進行實例分析。
[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
【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F842.3

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