The Effect of Interest Sensitive Annuity on Life InsuranceCompany''s Equity

• Main Authors: Fu-Ming Hsu, 徐福明
• Other Authors: Xian-Xing Liao
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/96057501784669260363

碩士 === 國立臺灣大學 === 財務金融學研究所 === 99 === Since A.D.2000 the network technology stock froth and the subprime crisis , the central banks of most countries lowered interest rate for economic stimulus . In the low interest rate environment , people purchases interest sensitive annuity commodities in place of fixed deposits , so the research in the establishment strategy for the declared interest rate of interest sensitive annuity has been an important issue. Firstly , this paper will generalize the upper limits and lower limits for the declared interest rate of interest sensitive annuity which have been modified by audit agency since 2001.04.03 for three times ; secondly , use the C.I.R. model to simulate the interest rate term structure in ten years ; thirdly , calculate the total value of asset、liability and equity on every time point ; finally , discount the total value of asset、 liability and equity to the original time point. The principal objective in this paper is to study the influence of different declared interest rate establishment strategies、asset allocations、alpha and accounting titles for bonds on the present value of equity. The simulating result shows that the modified declared interest rate in A.D 2005.05.24 is the best for equity among three ; in most conditions , the value at risk for insurance company increases as the investing ratio in stock increases ; as the alpha increases , the insurance company must get high investing return rate to pay the liability ; finally , the influence of different bonds’ accounting titles(HTM and Trading) for equity is not very clear.