人寿保险利率与回报数据分析摘要.ppt

SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * In life insurance, the duration of liabilities is typically longer than the duration of assets, hence liabilities are more sensitive to changes in interest rates SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * Besides economic view, different accounting views are commonly used by insurance companies SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * Life insurers do not understand their own business SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * Risk is quantified as difference between expected outcome and specified quantile SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * 2001 and 2002 so far have been a bad combination of stock markets falling and interest rates falling. Falling stock markets hitting directly the capital base, while falling interest rates lowering （economic） capital base with typical ALM position （shorter asset duration relative to longer liability duration） and severely reducing profitability of new business In addition, increasing interest rates are bad from an accounting point of view （e.g., US, marking bonds to market, not adjusting 负债） SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * This raises the question whether insurers really are credible in creating value through active asset management （buy/sell）. Are there other investment strategies that would play more naturally up to the characteristics of the life insurers （e.g., long time horizon on balance sheet vs. marginal investor）? SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * Performance of Business Units can be measured by lines of business functions or customer segments SW-ZXD937-2002-10-21-HEN-VBM Asia-V3 * Modeling of B