Interest Rate Risk And Actuarial Immune Study

It is important for insurance companies to invest insurance fund, resist interest rate risk, match the assets with the liabilities of insurance companies, which will help insurance companies to improve management, enhance the ability of profit and solvency.The whole thesis contains two parts. In the first part, the interest rate has been analyzed from the following aspects: the interest rate risk in the management of assets and liabilities of insurance companies; the two analytic methods of interest rate risk, which are the traditional analytic methods and stochastic interest rate term structure models; the reinvestment risk of fixed income securities and immunization theory; the elaborate description of the yield curves.In the second part, the actuarial immunization technology has been studied from the following three aspects: (1) the general description of the immunization in terms of the level yield curve and the Redington actuarial immunization theory; (2) In terms of the directional actuarial immunization tools, the actuarial immunization technology under the general yield curve has been studied, which result in the condition of directional actuarial immunization and non-directional actuarial immunization. And the investment return under the immunization condition has been analyzed. At the same time, the theory of non-directional actuarial immunization has been explored. (3) In terms of the valuation of insurance product liabilities and securities under the stochastic interest, an important actuarial immunization theorem has been deducedActuarial immunization technology is an important tool to resist the interest rate risk of insurance companies. But in China, this technology hasnt been broadly studied and employed not only in the theory but also in the practice. I wish my work could benefit the management of insurance companies.