| Summary: | 碩士 === 國立政治大學 === 風險管理與保險學系 === 90 === Abstract
The interest rates have been decreasing recently. Under this circumstance, it might be difficult for insurance companies to gain sufficient investment returns to fulfill the commitment of insurance policies. The interest-rate risk has become one of the critical factors for the solvency of life insurance companies. Therefore, life insurance companies should evaluate the impact of interest-rate risk and perform asset-liability management to prevent insolvency.
This study applies the concept of duration and K value (Barney 1997) to measure interest-rate risk and its impact on the operations of life insurance companies in Taiwan. The empirical analysis is conducted based on the financial data of life insurance companies in Taiwan during the period of 1998-2000. The empirical findings are listed as follows:
1. Interest-rate risk has a significantly negative impact on both investment return and ROE..
2.Interest-rate risk does not have significant impact on current ratio of the life insurance companies, but it is positively related to debt ratio.
3.Interest-rate risk does not have significant impact on either new contract growth rate or policy renewal rate, which indicates that the process of disintermediation does not happen in life insurance industry in Taiwan.
4.By investing in the long-term government bonds and corporate bonds and reducing the interest-rate sensitivity of policy loans、investment on real estates and fixed assets , life insurance companies may be able to increase their profits.
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