中国寿险业利率风险管理研究
摘要
在中国加入WTO，国内寿险业面临激烈的国际同业竞争，以及中国利率市场化进程不断推进的大背景下，对中国寿险业的利率风险的来源、现状及其管理进行深入研究，对于中国寿险业有效防范利率风险，保证寿险业的持续、稳定、健康发展，增强国际市场竞争力具有一定的理论指导意义和现实意义。本文结合现阶段中国寿险业的发展现状，运用人寿保险精算和利率风险管理的相关理论，对中国寿险业的利率风险管理作了一些有益的探讨。
本文首先分析了寿险业利率风险的主要来源，认为寿险业利率风险的主要来源包括寿险商品的定价机制、资产负债利率敏感性的不匹配、保单嵌入选择权、利率变动对寿险供求稳定性的影响。接着运用寿险精算原理分析了利率风险对寿险产品定价、寿险公司负债、寿险公司收益的影响。
然后通过研究利率变化引起的中国寿险业责任准备金的变动情况实证分析了中国寿险业利率风险的现状，运用情景测试分析了利率变动对国内寿险公司收益的影响，从而了解国内寿险业抵御利率风险的能力。
其后，运用免疫策略建立了用于抗利率风险寿险产品设计的久期匹配模型，结合实际予以检验，并在定期寿险中得到了较好的结果。通过与传统寿险产品的比较发现，运用久期匹配技术设计的寿险产品在抗利率风险方面具有较大的优势，表明该模型具有一定的实用性。
接着本文讨论了资产负债管理技术在寿险业利率风险管理中的应用，考虑到中国寿险业的现状，提出中国寿险业防范利率风险应该从缩小有效久期缺口着手的结论。本文还考虑到中国寿险资金运用渠道和寿险公司投资能力的限制，提出中国寿险业的资产负债管理应采用负债主导和资产主导相结合的方式。
最后，本文简要分析利率衍生工具、财务再保险、加强寿险公司内控等防范利率风险的措施，以及这些措施在中国寿险业利率风险防范中的应用
As China became a member of WTO, the Chinese life insurance industry will experience more fierce international competition. What is more, the interest rate of China will be more and more determined by market. So it is very important to study the causes, situation and management of interest rate risk is very important for the Chinese life insurance industry to control the interest rate risk effectively. And it will be helpful for the Chinese life insurance industry to develop continuously, steadily and healthily, and to survive in the dog-eat-dog international life insurance industry. This paper used the actuarial science and interest rate risk management theories to study the interest rate risk of the Chinese life insurance industry, combine with the present situation of the Chinese life insurance industry.
At first, this paper analyzed the four main causes of interest rate risk of life insurance: the pricing methods of life insurance products, the not-matching sensitivity of assets and liabilities, the option in the policy, and the influence on the supply and demand of life insurance products. This paper also used actuarial science to analyze the influences of interest rate risk on the operation of life insurance.
After that, this paper analyzed the change of Chinese life insurance companies' reserve caused by the change of the interest rate, so the situation and character of interest rate risk of Chinese life insurance were studied. And then the cash flow test was used to study the influence of the change of interest rate on the profit of Chinese life insurance companies.
Then a duration matching model for interest risk resisting life insurance products was established and tested on the designing of interest risk resisting life insurance products combined with the existing products. The results proved that the model works well.
This paper also discussed the application of ALM in the life insurance interest rate risk management and drew a conclusion that the control of duration gap is the practical choice of Chinese life insurance industry. This paper also suggested the ALM mode suitable for the present.
At last, the other measures for life insurance interest rate risk management such as financial re-insurance and enforcing inner control of company were analyzed in this paper
本文首先分析了寿险业利率风险的主要来源，认为寿险业利率风险的主要来源包括寿险商品的定价机制、资产负债利率敏感性的不匹配、保单嵌入选择权、利率变动对寿险供求稳定性的影响。接着运用寿险精算原理分析了利率风险对寿险产品定价、寿险公司负债、寿险公司收益的影响。
然后通过研究利率变化引起的中国寿险业责任准备金的变动情况实证分析了中国寿险业利率风险的现状，运用情景测试分析了利率变动对国内寿险公司收益的影响，从而了解国内寿险业抵御利率风险的能力。
其后，运用免疫策略建立了用于抗利率风险寿险产品设计的久期匹配模型，结合实际予以检验，并在定期寿险中得到了较好的结果。通过与传统寿险产品的比较发现，运用久期匹配技术设计的寿险产品在抗利率风险方面具有较大的优势，表明该模型具有一定的实用性。
接着本文讨论了资产负债管理技术在寿险业利率风险管理中的应用，考虑到中国寿险业的现状，提出中国寿险业防范利率风险应该从缩小有效久期缺口着手的结论。本文还考虑到中国寿险资金运用渠道和寿险公司投资能力的限制，提出中国寿险业的资产负债管理应采用负债主导和资产主导相结合的方式。
最后，本文简要分析利率衍生工具、财务再保险、加强寿险公司内控等防范利率风险的措施，以及这些措施在中国寿险业利率风险防范中的应用
As China became a member of WTO, the Chinese life insurance industry will experience more fierce international competition. What is more, the interest rate of China will be more and more determined by market. So it is very important to study the causes, situation and management of interest rate risk is very important for the Chinese life insurance industry to control the interest rate risk effectively. And it will be helpful for the Chinese life insurance industry to develop continuously, steadily and healthily, and to survive in the dog-eat-dog international life insurance industry. This paper used the actuarial science and interest rate risk management theories to study the interest rate risk of the Chinese life insurance industry, combine with the present situation of the Chinese life insurance industry.
At first, this paper analyzed the four main causes of interest rate risk of life insurance: the pricing methods of life insurance products, the not-matching sensitivity of assets and liabilities, the option in the policy, and the influence on the supply and demand of life insurance products. This paper also used actuarial science to analyze the influences of interest rate risk on the operation of life insurance.
After that, this paper analyzed the change of Chinese life insurance companies' reserve caused by the change of the interest rate, so the situation and character of interest rate risk of Chinese life insurance were studied. And then the cash flow test was used to study the influence of the change of interest rate on the profit of Chinese life insurance companies.
Then a duration matching model for interest risk resisting life insurance products was established and tested on the designing of interest risk resisting life insurance products combined with the existing products. The results proved that the model works well.
This paper also discussed the application of ALM in the life insurance interest rate risk management and drew a conclusion that the control of duration gap is the practical choice of Chinese life insurance industry. This paper also suggested the ALM mode suitable for the present.
At last, the other measures for life insurance interest rate risk management such as financial re-insurance and enforcing inner control of company were analyzed in this paper
引文
[1] 曹勇，"国外寿险公司利率风险情况研究"，保险研究，2001.7
[2] Jordan, Chester W., "Life Contingencies", Society Of Actuaries, 1967, pp482-492
[3] Bowers, Newton L., Hans U. Gerber, James C. Hickman, Donald A. Jones, and Cecil J. Nesbitt, "Actuarial Mathematics",Society of Actuaries, 1986, pp121-126
[4] Beekman, John A. and Clinton P. Fuelling, "Interest and Mortality Randomness in some Annuities", Insurance, Mathematics and Economics, 1990, Vol.10, pp275-287
[5] Schepper A. De and M. Doovaerts, "Some Further Results on Annuities Certain with Random Interest", Insurance, Mathematics and Economics, 1992, Vol.11, pp283-290
[6] Frees, Edward W., "Stochastic Life Contingencies with Solvency Considerations", Transaction of the Society of Actuaries, 1990, Vol.42, pp91-129
[7] Parker, Gray, "Moments of the Present Value of a Portfolio of Policies", Scandinavian Actuarial Journal, 1994, pp53-76
[8] Parker, Gray, "Stochastic Analysis of a Portfolio of Endowment Insurance Policies", Scandinavian Actuarial Journal, 1994, pp119-130
[9] Parker, Gray, "A Portfolio of Endowment Policies and Its Limiting Distribution", Astin Bulletin, 1996, Vol.26, pp25-33
[10] Parker, Gray, "Stochastic Analysis of the Interaction Between Investment and Insurance Risks", North American Actuarial Journal, 1997, Vol.1, pp55-84
[11] Schott, F H., "Disintermediation through Policy Loans at Life Insurance Companies", Journal of Finance, 1971, Vol.26, pp719-729
[12] Pesando, James E., "The Interest Sensitivity of the Flow of Funds through Life Insurance Companies - an Econometric Analysis", Journal of Finance, 1974, Vol.29, pp1105-1121
[13] Laporte, P D., Samnel H. Cox, S R. Linney, and L Lombardi, "Single Premium Deferred Annuity Persistency Study", Transactions of the Society of Actuaries Reports, 1992, Vol.1, pp281-332
[14] Babble, David F., "Asset-Liability Matching in the Life Insurance Industry", The Financial Dynamics of the Insurance Industry, 1995, Vol.16, pp156-162
[15] Briys, Eric and Francois De Varenne, "On the Risk of Insurance Liabilities", Debunking some Common Pitfalls, Journal of Risk and Insurance, 1997, Vol.64, pp673-694.
[16] Chenghsien Tsai, Hsien-Chan Ho, Chin-Hua Tsou, "Duration Analyses on Life Insurance Policies", Journal of Risk Management, 2002, Vol.4, No.1, pp47-45.
[17] 李秀芳，李静，"中国寿险业资产负债管理模式研究及其数学模型"，金融研究，2002, No.7
[18] 李学江，"人寿保险公司的资产负债管理"，金融研究，2002, No.9
[19] 陈耀光，"浅谈银行再次下调利率寿险如何因应利差损"，中国保险管理干部学院学报，2000, No.2
[20] 李良温，"防范与化解利差损的思考"，保险研究，2001, No.3
[21] 万峰，"论利差损的产生与化解"，保险研究，2001, No.6
[22] 余斌，吴敌，黄宇，"寿险经营中的利率风险"，中国保险管理干部学院学报，1998, No.3
[23] 陶存文，"论我国寿险公司的利率风险及其对策"，保险研究，1999, No.9
[24] 卓志，"重视利率风险对寿险经营的影响的研究"，中国商业保险，1999, No.3
[25] 卓志，"人寿保险稳健经营的利率思考"，华南金融研究，2000, No.4
[26] 李秀芳，"我国寿险业的利率风险分析及其防范"，南开经济研究，2001, No.1
[27] 王宪章，"论寿险产品的利率风险管理"，保险研究，2002, No.2
[28] 张宏业，"久期免疫策略在保险风险防范中的应用"，保险研究，2001, No.8
[29] 卓志，"重视利率风险对寿险经营影响的研究"，中国商业保险，1999, No.3
[30] 杨帆，韩卫国，甘露，"保险资金运用国际比较研究"，保险研究，2002, No.6
[31] David F. Babbel, "Anthony M. Santomero, Risk Management by Insurers", An Analysis of the Process, Journal of Risk and Insurance, 1997, pp242-245
[32] 孟生旺，滕帆，“中国寿险业利率风险的实证分析及其情景测试”，当代经济科学，2002, No.5
[33] 雷宇，《寿险精算学》，北京大学出版社，1998，pp135-136
[34] Kenneth Black, Jr. Harold D. Skipper,Jr.，《人寿保险》，北京大学出版社，1999,pp40-43
[35] 安东尼. G. 科因，罗伯特. A. 克兰.，《利率风险的控制与管理》，经济科学出版社，1999, pp103-104
[36] 李秀芳，关凌，"论资产负债管理技术指导下的寿险产品战略"，南开经济研究，2001, No.4
[37] 陈朝先，《人身保险经济学》，中国金融出版社，1989
[38] 陈朝先，《保险学》，西南财经大学出版社，2000
[39] 关凌，《免疫策略及其在人寿保险抗利率风险产品设计中的应用》，北京大学硕士学位论文，2000
[40] 卓志，《保险经营风险防范机制研究》，西南财经大学出版社，1997
[41] 卓志，《人寿保险的经济分析引论》，中国金融出版社，2001
[42] 楚军红，《通货膨胀与中国的人寿保险》，北京大学出版社，1998
[43] 杨再贵，《最新保险公司会计》，改革出版社，1999
[44] 孙祈祥，《中国保险业矛盾、挑战与对策》，中国金融出版社，2000
[45] 谬里尔. L. 克劳福特，《人寿与健康保险》，经济科学出版社，2000
[46] 李钢，《寿险经营论》，中国商业出版社，1999
[47] 陆宝群，"对我国保险险种设计的现实思考"，保险研究，1999, No.9
[48] 谢石洞，"全球性通货紧缩对我国保险业的影响及对策"，保险研究，1999, No.6
[49] 孙祈祥，"论保险投资的风险与管理"，保险研究，1999, No.10
[50] 崔玉杰，李昊宇，沈瑜，"久期与免除战略在资产负债管理中的应用原理初探"，北方工业大学学报，2001, No.3
[51] 刘新喜，杨全成，"寿险公司资产负债管理中的利率风险分析"，中国保险管理干部学院学报，2001, No.6
[52] 樊国昌，"寿险预定利率与存款利率联动的成因及效应分析"，重庆商学院学报，2000, No.6
[2] Jordan, Chester W., "Life Contingencies", Society Of Actuaries, 1967, pp482-492
[3] Bowers, Newton L., Hans U. Gerber, James C. Hickman, Donald A. Jones, and Cecil J. Nesbitt, "Actuarial Mathematics",Society of Actuaries, 1986, pp121-126
[4] Beekman, John A. and Clinton P. Fuelling, "Interest and Mortality Randomness in some Annuities", Insurance, Mathematics and Economics, 1990, Vol.10, pp275-287
[5] Schepper A. De and M. Doovaerts, "Some Further Results on Annuities Certain with Random Interest", Insurance, Mathematics and Economics, 1992, Vol.11, pp283-290
[6] Frees, Edward W., "Stochastic Life Contingencies with Solvency Considerations", Transaction of the Society of Actuaries, 1990, Vol.42, pp91-129
[7] Parker, Gray, "Moments of the Present Value of a Portfolio of Policies", Scandinavian Actuarial Journal, 1994, pp53-76
[8] Parker, Gray, "Stochastic Analysis of a Portfolio of Endowment Insurance Policies", Scandinavian Actuarial Journal, 1994, pp119-130
[9] Parker, Gray, "A Portfolio of Endowment Policies and Its Limiting Distribution", Astin Bulletin, 1996, Vol.26, pp25-33
[10] Parker, Gray, "Stochastic Analysis of the Interaction Between Investment and Insurance Risks", North American Actuarial Journal, 1997, Vol.1, pp55-84
[11] Schott, F H., "Disintermediation through Policy Loans at Life Insurance Companies", Journal of Finance, 1971, Vol.26, pp719-729
[12] Pesando, James E., "The Interest Sensitivity of the Flow of Funds through Life Insurance Companies - an Econometric Analysis", Journal of Finance, 1974, Vol.29, pp1105-1121
[13] Laporte, P D., Samnel H. Cox, S R. Linney, and L Lombardi, "Single Premium Deferred Annuity Persistency Study", Transactions of the Society of Actuaries Reports, 1992, Vol.1, pp281-332
[14] Babble, David F., "Asset-Liability Matching in the Life Insurance Industry", The Financial Dynamics of the Insurance Industry, 1995, Vol.16, pp156-162
[15] Briys, Eric and Francois De Varenne, "On the Risk of Insurance Liabilities", Debunking some Common Pitfalls, Journal of Risk and Insurance, 1997, Vol.64, pp673-694.
[16] Chenghsien Tsai, Hsien-Chan Ho, Chin-Hua Tsou, "Duration Analyses on Life Insurance Policies", Journal of Risk Management, 2002, Vol.4, No.1, pp47-45.
[17] 李秀芳，李静，"中国寿险业资产负债管理模式研究及其数学模型"，金融研究，2002, No.7
[18] 李学江，"人寿保险公司的资产负债管理"，金融研究，2002, No.9
[19] 陈耀光，"浅谈银行再次下调利率寿险如何因应利差损"，中国保险管理干部学院学报，2000, No.2
[20] 李良温，"防范与化解利差损的思考"，保险研究，2001, No.3
[21] 万峰，"论利差损的产生与化解"，保险研究，2001, No.6
[22] 余斌，吴敌，黄宇，"寿险经营中的利率风险"，中国保险管理干部学院学报，1998, No.3
[23] 陶存文，"论我国寿险公司的利率风险及其对策"，保险研究，1999, No.9
[24] 卓志，"重视利率风险对寿险经营的影响的研究"，中国商业保险，1999, No.3
[25] 卓志，"人寿保险稳健经营的利率思考"，华南金融研究，2000, No.4
[26] 李秀芳，"我国寿险业的利率风险分析及其防范"，南开经济研究，2001, No.1
[27] 王宪章，"论寿险产品的利率风险管理"，保险研究，2002, No.2
[28] 张宏业，"久期免疫策略在保险风险防范中的应用"，保险研究，2001, No.8
[29] 卓志，"重视利率风险对寿险经营影响的研究"，中国商业保险，1999, No.3
[30] 杨帆，韩卫国，甘露，"保险资金运用国际比较研究"，保险研究，2002, No.6
[31] David F. Babbel, "Anthony M. Santomero, Risk Management by Insurers", An Analysis of the Process, Journal of Risk and Insurance, 1997, pp242-245
[32] 孟生旺，滕帆，“中国寿险业利率风险的实证分析及其情景测试”，当代经济科学，2002, No.5
[33] 雷宇，《寿险精算学》，北京大学出版社，1998，pp135-136
[34] Kenneth Black, Jr. Harold D. Skipper,Jr.，《人寿保险》，北京大学出版社，1999,pp40-43
[35] 安东尼. G. 科因，罗伯特. A. 克兰.，《利率风险的控制与管理》，经济科学出版社，1999, pp103-104
[36] 李秀芳，关凌，"论资产负债管理技术指导下的寿险产品战略"，南开经济研究，2001, No.4
[37] 陈朝先，《人身保险经济学》，中国金融出版社，1989
[38] 陈朝先，《保险学》，西南财经大学出版社，2000
[39] 关凌，《免疫策略及其在人寿保险抗利率风险产品设计中的应用》，北京大学硕士学位论文，2000
[40] 卓志，《保险经营风险防范机制研究》，西南财经大学出版社，1997
[41] 卓志，《人寿保险的经济分析引论》，中国金融出版社，2001
[42] 楚军红，《通货膨胀与中国的人寿保险》，北京大学出版社，1998
[43] 杨再贵，《最新保险公司会计》，改革出版社，1999
[44] 孙祈祥，《中国保险业矛盾、挑战与对策》，中国金融出版社，2000
[45] 谬里尔. L. 克劳福特，《人寿与健康保险》，经济科学出版社，2000
[46] 李钢，《寿险经营论》，中国商业出版社，1999
[47] 陆宝群，"对我国保险险种设计的现实思考"，保险研究，1999, No.9
[48] 谢石洞，"全球性通货紧缩对我国保险业的影响及对策"，保险研究，1999, No.6
[49] 孙祈祥，"论保险投资的风险与管理"，保险研究，1999, No.10
[50] 崔玉杰，李昊宇，沈瑜，"久期与免除战略在资产负债管理中的应用原理初探"，北方工业大学学报，2001, No.3
[51] 刘新喜，杨全成，"寿险公司资产负债管理中的利率风险分析"，中国保险管理干部学院学报，2001, No.6
[52] 樊国昌，"寿险预定利率与存款利率联动的成因及效应分析"，重庆商学院学报，2000, No.6