【作者】 王兵；

【导师】 冯祈善；

【作者基本信息】 重庆大学 ， 技术经济及管理， 2003， 硕士

【摘要】 在中国加入WTO，国内寿险业面临激烈的国际同业竞争，以及中国利率市场化进程不断推进的大背景下，对中国寿险业的利率风险的来源、现状及其管理进行深入研究，对于中国寿险业有效防范利率风险，保证寿险业的持续、稳定、健康发展，增强国际市场竞争力具有一定的理论指导意义和现实意义。本文结合现阶段中国寿险业的发展现状，运用人寿保险精算和利率风险管理的相关理论，对中国寿险业的利率风险管理作了一些有益的探讨。本文首先分析了寿险业利率风险的主要来源，认为寿险业利率风险的主要来源包括寿险商品的定价机制、资产负债利率敏感性的不匹配、保单嵌入选择权、利率变动对寿险供求稳定性的影响。接着运用寿险精算原理分析了利率风险对寿险产品定价、寿险公司负债、寿险公司收益的影响。然后通过研究利率变化引起的中国寿险业责任准备金的变动情况实证分析了中国寿险业利率风险的现状，运用情景测试分析了利率变动对国内寿险公司收益的影响，从而了解国内寿险业抵御利率风险的能力。其后，运用免疫策略建立了用于抗利率风险寿险产品设计的久期匹配模型，结合实际予以检验，并在定期寿险中得到了较好的结果。通过与传统寿险产品的比较发现，运用久期匹配技术设计的寿险产品在抗利率风险方面具有较大的优势，表明该模型具有一定的实用性。接着本文讨论了资产负债管理技术在寿险业利率风险管理中的应用，考虑到中国寿险业的现状，提出中国寿险业防范利率风险应该从缩小有效久期缺口着手的结论。本文还考虑到中国寿险资金运用渠道和寿险公司投资能力的限制，提出中国寿险业的资产负债管理应采用负债主导和资产主导相结合的方式。最后，本文简要分析利率衍生工具、财务再保险、加强寿险公司内控等防范利率风险的措施，以及这些措施在中国寿险业利率风险防范中的应用更多还原

【Abstract】 As China became a member of WTO, the Chinese life insurance industry will experience more fierce international competition. What is more, the interest rate of China will be more and more determined by market. So it is very important to study the causes, situation and management of interest rate risk is very important for the Chinese life insurance industry to control the interest rate risk effectively. And it will be helpful for the Chinese life insurance industry to develop continuously, steadily and healthily, and to survive in the dog-eat-dog international life insurance industry. This paper used the actuarial science and interest rate risk management theories to study the interest rate risk of the Chinese life insurance industry, combine with the present situation of the Chinese life insurance industry. At first, this paper analyzed the four main causes of interest rate risk of life insurance: the pricing methods of life insurance products, the not-matching sensitivity of assets and liabilities, the option in the policy, and the influence on the supply and demand of life insurance products. This paper also used actuarial science to analyze the influences of interest rate risk on the operation of life insurance. <WP=6>After that, this paper analyzed the change of Chinese life insurance companies’ reserve caused by the change of the interest rate, so the situation and character of interest rate risk of Chinese life insurance were studied. And then the cash flow test was used to study the influence of the change of interest rate on the profit of Chinese life insurance companies.Then a duration matching model for interest risk resisting life insurance products was established and tested on the designing of interest risk resisting life insurance products combined with the existing products. The results proved that the model works well.This paper also discussed the application of ALM in the life insurance interest rate risk management and drew a conclusion that the control of duration gap is the practical choice of Chinese life insurance industry. This paper also suggested the ALM mode suitable for the present. At last, the other measures for life insurance interest rate risk management such as financial re-insurance and enforcing inner control of company were analyzed in this paper更多还原