外文翻译---人寿保险公司利率敏感产品定价.docxVIP

外文文献The Pricing for Interest Sensitive Products of Life Insurance Firms James C. Hao Associate Professor， Department of Insurance， Tamkang UniversityE-mail： cjhao@mail.tku.edu.tw Received February 10， 2011；revised April 15， 2011；accepted April 26， 2011The 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 w