Empirical Analysis on Interest-Rate Risk to Chinese Life Insurers and Scenario Testing
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.
TENG Fan ZHANG Qingwei
School of Economics and Trade Ningbo Institute of Technology, Zhejiang University Ningbo, China Business School Zhejiang Wanli University Ningbo, China
国际会议
International Conference on Management and Service Science(2011年第五届管理与服务科学国际会议 MASS 2011)
武汉
英文
1-3
2011-08-12（万方平台首次上网日期，不代表论文的发表时间）