Study Of China's Life Insurance Pricing Interest Rate Risk

At present,with the process of the interest rate inform of china,the interest rate of china will be more and more determined by market.The frequently change of interest rate bring serious challenges to the insurance company of china.The traditional theory of actuarial suppoes that the policy ordered credit interest rate is fixed,but the life insurance is a long-term action.Government s polices economic cycle would cause uncertainties during the insurance period.The study on actuarial theory and method under random rates of interest has become an important and popular topic.What the thesis is interest rate risk in pricing of life insurance product.Interest rate risk in pricing of life insurance product is defined as the loss probability resulting from variation of market rate form policy ordered fixed credit interest rate.This thesis starts form the analyzes the pricing strategy,definities interest rate risk in pricing of insurance product,And analyzes the actuality of china interest rate risk in pricing of life insurance product.At last,this paper sets up a random model of interest rate combined with reflected Brownian motion and Gamma Distribution,the pure insurance premium and pure insurance premium responsibility reserves are obtained according to this model.