Interest Rate Risk Managemet under CIR Stochastic Interest Model: Hedging by Inverse FRNs & Participating Policies
Date Issued
2005
Date
2005
Author(s)
FANG, YUE-LU
DOI
zh-TW
Abstract
In this thesis, we employ the CIR stochastic interest model to calculate the effective durations and elasticity of the three main products that we simulate in this study ,inverse FRNs, non-participating policies and participating policies. From the simulation, we discover that when the long-term level, ,changes ,the effective durations of three main products will extend easily. That means the fluctuations of the long-term level affect the prices most .When life insurance companies buy inverse FRNs to extend the duration of asset side to implement immunization strategies ,it will work easily when the long-term level , ,changes. In addition, we find that the effective durations of non-participating policies will be longer than those of participating policies in all circumstances. In other words, issuing participating policies will reduce the interest rate risk of life insurance companies.
Subjects
利率風險
反浮動債券
分紅保單
有效存續期間
interest rate risk
inverse FRNs
participating policies
effective duration
Type
thesis