DocumentCode :
2966993
Title :
Empirical Analysis on Interest-Rate Risk to Chinese Life Insurers and Scenario Testing
Author :
Teng Fan ; Zhang Qingwei
Author_Institution :
Ningbo Inst. of Technol., Zhejiang Univ., Ningbo, China
fYear :
2011
fDate :
12-14 Aug. 2011
Firstpage :
1
Lastpage :
3
Abstract :
Interest-rate risk is one of key factors to influence the operation of life insurance industry. This paper analyses the influence on the liability of Chinese life insurance industry, brought about by recent years´ continual interest rate cut, and describes quantitatively the exposure level of the reserve fund to the interest rate risk. Furthermore, scenario analysis and stress testing was applied to the condition of asset and liability of an insurance company at the end of 2009. The result is turned out to be that the performance of present interest rate risk management in Chinese life industry is good and yet to have to further perfected.
Keywords :
economic indicators; insurance; risk management; Chinese life industry; Chinese life insurance industry; Chinese life insurers; asset and liability; continual interest rate cut; empirical analysis; exposure level; insurance company; interest rate risk management; interest-rate risk; reserve fund; scenario analysis; scenario testing; stress testing; Companies; Economic indicators; Industries; Insurance; Investments; Stress; Testing;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Management and Service Science (MASS), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-6579-8
Type :
conf
DOI :
10.1109/ICMSS.2011.5998381
Filename :
5998381
Link To Document :
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