外文翻译---人寿保险公司利率敏感产品定价

外文翻译---人寿保险公司利率敏感产品定价
外文文献
The Pricing for Interest Sensitive Products of Life Insurance Firms
James C. Hao
Associate Professor，Department of Insurance，Tamkang University E-mail：cjhao@.tw
Received February 10，2011；revised April 15，2011；accepted April 26，2011
The major purpose of this paper is to construct interest rate risk models for interest sensitive products issued by life insurance firms in Taiwan. With interest declines in late 1990s，single paid interest sensitive annuity takes up about 20% of new policy premiums in Taiwan；This implies its risk and profitability become critical to insurers’ financial health. The paper constructs the Black-Derman-Toy model combining with optional-adjusted spread analysis model to price the spread on asset required to yield to make such products break even，with further extension to measure the impact of interest shock on asset liability management. We choose two different crediting strategy products to illustrate the option value of the insurance firms- the option to reset rates based on the path of interest rates and the expenses charges as well as the option of policyholders-the option to surrender policy if not satisfied with crediting rate. With our implement Table models，insurance firm will have capacity to quantify its risk exposure and source of profitability as well as to seek an optimal strategy balancing sale volume and aggressiveness of crediting policy.
Interest rate risk is an important concern for life insurance firms. Insurers issue debt instruments for which the amount and timings of benefits payment are unknown at time of policy issuance and invest the
premiums to maximize the return. The asset cash flow is composed of investment income and principal repayments while the liability cash flow in any future time is defined as the sum of the policy claims，policy surrenders and expenses minus the premium income expected to occur in that time period. When interest rates fall as the net cash flows are positive，the net flows will have to be reinvested at rates lower than the initial rates. The reinvestment risk emerges. On the other hand，negative net cash flows mean shortages of cash needed to meet liability obligations. A cash shortage requires the liquidation of assets or borrowing. If interest rates rise when the net cash flows are negative，capital losses can occur as a result of liquidation of bonds and other fixed-income securities whose values have fallen. And the price risk occurs.
Taiwan insurance companies are exposed largely to interest risk even though the popular products change over time. Prior to 1990，market was featured with fixed interest rate products which guarantee 20 or more years of fixed return to policyholders. With interest starts to decline in late 1990s，Taiwan insurers realize that high fixed interest products are too costly to issue but low fixed-interest rate products won’t be attractive to potential buyers. With the sale pressure，insurance companies start to issue unit-linked products as well as interest sensitive products to attract buyers. Single paid deferred annuities (SPDA) which belongs to interest sensitive family quickly takes up almost 20% of new premiums in the market and therefore its risk exposure becomes vital to insurers’ insolvency.
With single premium payment，SPDA policyholders earn interest at the company-declared annual interest rate which is guaranteed for one year at a time. Before the annuity commencement date，policyholders can with-draw all of the annuity value or part of it. With the above features SPDA involves two options. One option is in the policy holder’s hands，the option to surrender the con-tract early. As interest rates rise，SPDA owners tend to surrender and reinvest in higher yielding investments which is similar to the mortgage borrowers behavior. The other option is in the
insurance company’s hands，the right to reset interest rates. The reset policy is function of market competitiveness，insurer’s investment performance and regulation limitations.
Santomero and Bebbel (1997) state that insurers have a sense of urgency to apply the tools of asset/liability management to manage interest rate risk. The traditional approach to interest rate risk management and valuation，namely standard immunization method，is based on the assumption that the yield curve is flat and interest rates change in a parallel and deterministic manner，which implies that asset and liability cash flows are independent of interest rate fluctuations. This condition and approach certainly does not hold for assets such as callable bonds and interest sensitive liabilities such as SPDA. This paper applies arbitrage free interest rate and option-adjusted spread analysis model to demonstrate how these models are constructed to measure the risks and to quantify emerging profits or losses by source for interest sensitive life products.
Conclusions
With interest starts to decline in late 1990s，Taiwan insurers start to issue interest sensitive products to replace the traditional fixed interest life products. Single paid deferred annuities (SPDA) which belongs to interest sensitive family quickly takes up about 20% of new premiums and becomes dominant product in the market. Due to its vital impact on life insurers’ financial status but little literature devoted to risk and profit identification，this paper develops BDT model and optional-adjusted spread analysis model to demonstrate risk measurement procedures and analysis results，with further extension to measure the impact of interest shock on asset liability management of SPDA.
As shown in our model，the RSA for aggressive crediting strategy requires 144bp while more conservative crediting strategy only requires 37bp and effective duration of both SPDA approximates 1.This implies aggressive and conservative products should yield at least 144bp and 37bp over Treasuries respectively，on a risk option-adjusted basis to break even，
and the effective duration of asset dedicated to such products approximates
1.The analysis results convey two facts. First，the lower RSA is evidence of
the value of the ins urance firm’s option- the option to reset rates based on the path of interest rates and the prevailing surrender charge Second，Challenge of managing interest risk of such interest sensitive products is to dynamically balance the interest income and duration match. Given the common practice of longer asset duration allocation among life insurers，the impact on both sides of balance sheet due to interest shocks are analyzed and reported. Additionally，I also indicate if the issuers are able to reduce the over-head-related expenses，such as maintenance expenses per policy or unit commission rate，through generating large premium volume，then RSA will be effectively mitigated. Not only has this proved the expenses spread can in-crease the potential profitability of SPDA but insurers would need to focus on strategies to balance sale volume and aggressiveness of crediting policy. In all，this paper makes valuable contributions to insurer firms by constructing an implement Table model to quantify risk exposure and sources of profitability of interest sensitive products.
Further research might explore the impact of dynamic reset strategies on RSA，for example to adopt strategy following new money rates less closely instead of 100% pegging new money rate. And other interest generating models could be tried out as well.
人寿保险公司利率敏感产品定价
詹姆斯C郝
淡江大学保险系副教授
电子邮件：cjhao@.tw
2011年2月10日发送；2011年4月15日修订；2011年4月26日完稿
本文的主要目的是构建由台湾人寿保险公司发行的利率敏感产品的利率风险模型。

20世纪初利率下降，单利息敏感的年金约占台湾保险市场保费的20%；
这意味着其风险和盈利能力，成为保险公司的财务考核的关键指标。

本文结合国家调整价差OP分析模型，进一步扩展到测量的影响，利率冲击对资产负债管理的影响。

我们选择了两个不同的授信策略的产品说明保险公司的期权价值的期权重置基于利率路径费率和费用以及政治决策者选择投降政策，如果计入率不满意的选项。

我们的实现模型，保险公司将必须量化的风险和利润源泉以及寻求一个最佳的战略平衡销售量和侵略性的信贷政策的能力。

利率风险是人寿保险公司的一个重要问题。

保险公司发行的债务工具的数额和支付时间未知的利益在政策发布时间和投资溢价收益最大化。

资产的现金流是由投资收益和本金而在将来的任何时刻的负债现金流被定义为的政策主张和政策，投降和费用减去保费收入预计将在这段时间内发生的。

当利率降为净现金流为正，净流量将被再投资率低于初始速率。

再投资风险的出现。

另一方面，负的净现金流量意味着需要满足筹措现金短缺的责任义务。

现金短缺需要借款清算资产。

如果利率上升时，净现金流为负，资本损失由于能对债券和其他固定收益证券的价值已经下降清算发生。

和价格风险的发生。

台湾保险公司暴露的主要利率风险虽然流行的产品随着时间的变化而变化。

1990之前，市场具有固定利率产品保证20年以上的固定收益保险。

有兴趣在20世纪90年代后期开始下降，台湾保险业实现高的固定利率产品的成本太高，但低的固定利率产品的问题不会有吸引力的潜力买家。

随着销售压力，保险公司开始发行单元产品和利率敏感的产品来吸引买家。

单一支付延期年金（SPDA）属于利率敏感的家庭很快就占据了几乎20%的新的保险费在市场和其风险成为保险公司破产的重要。

单支付保险费，参保人赚取利息SPDA在公司宣布的年利率是保用一年一次。

年金保单生效日期之前，可以将所有它的年金价值或部分。

与上述特征SPDA涉及两个选项。

一种选择是在保单持有人的手，选择放弃合同早。

当利率上升时，业主往往SPDA投降，投资高收益的投资，这是类似于抵押贷款借款人的行为。

另一个选择是在保险公司的手中，重置利率的权利。

重置政策是市场竞争力的作用，保险公司的投资业绩和法规限制。

圣多马罗和bebbel（1997）指出，保险公司有一种紧迫感，运用资产负债管理工具来管理利率风险。

传统的利率风险管理与评估方法，即标准免疫方法，是基于假设的收益率曲线是平的，利率在一个平行的和确定的方式的改变，这意味着资产负债现金流无关，利率波动。

这一状况，探讨并不持有的资产，如
可赎回债券和利率敏感负债如SPDA。

本文运用无套利利率期权调整价差分析模型来展示如何将这些模型来衡量风险和量化的新兴的利润或亏损由利率敏感的生活产品的来源。

结论
有兴趣在20世纪90年代后期开始下降，台湾在surers开始发行利率敏感的产品来代替传统的固定利率产品寿命。

单一支付延期年金（SPDA）属于利率敏感的家庭很快就占了20%，而新系统成为主导产品在市场。

由于其重要的影响寿险公司的财务状况却很少文献的风险与收益的识别，本文开发了BDT模型和可选的调整价差分析模型证明风险测量程序和分析结果，进一步扩展测量对SPDA资产负债管理利率冲击的影响。

在我们的模型显示，积极的写作策略的RSA需要信用144bp而更保守的信贷策略只需要37bp和两SPDA有效的硬脑膜重刑接近1。

这意味着凶猛一些保守的产品应至少144bp和37bp国债分别，在打破甚至风险期权调整的基础上，与资产专用产品的近似的伴侣1有效时间。

分析结果传达两个事实。

第一，较低的RSA是保险公司的选择，选择重置利率路径率和当时的退保费用第二价值的证据，这样的利率敏感产品的利率风险管理面临的挑战是动态平衡的利息收入和时间比赛。

由于长时间分配资产寿险公司通常的做法，在资产负债表中由于双方利益的冲击的影响进行了分析和报告。

另外，我也表明，如果发行人能够减少超过头部的相关费用，如维修费用政策或单位的佣金率，通过产生大量的保费，然后将有效地减轻RSA。

这不仅可以证明传播费用增加SPDA但保险公司潜在的盈利需要聚焦于战略平衡销售量授信政策和攻击性。

总之，本文通过构建一个可实现的模型来量化风险暴露前和利率敏感产品盈利来源使保险公司有价值的贡献。

下一步的研究工作应该是探讨RSA的动态复位策略的影响，比如采用新的和资金利率关系不太密切战略，而不是100％盯住新货币利率战略，并且可能也会尝试利率决定模型。