Duration Analyses of Life Insurance Policies
| Autor: | Chih-Hua Tsou, 鄒治華 |
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| Rok vydání: | 2002 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 90 Estimating the duration of the life insurance policy is the first step in measuring the interest rate risk of the life insurance company. Life insurance policy’s duration is quite different from bond’s due to the difference in the pattern of cash flows. Life insurance policies generate not only cash outflows as payments to policyholders from insurance companies but also cash inflows as premiums from policyholders to insurers. Furthermore, the net cash flow usually turns from inflow to outflow as time goes by. The duration of the life insurance policy therefore could be negative or longer than the maturity of the policy. It could even be huge if its reserve is close to zero. Besides, the mortality rate does not have a significant impact on policy duration; early surrenders of policies would reduce policy duration in general; and leveling commission rate would make positive duration smaller. Findings concluding from analyzing the likely results, referring to the steadying, growing and declining modes, of insurance portfolios offered by life insurance companies for analyzing their liability duration, indicate that the interest rate risk exposure by a start-up life insurance company or a growing life insurance company is greater than a life insurance company that is at a steadying or declining phase. Keywords: duration, interest rate risk, net cash flow, life insurance policies, reserve. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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