Asset and Liability Management for Floating-rate Annuity Considering Lapse Behavior
Date Issued
2007
Date
2007
Author(s)
Hsu, Wei-Ting
DOI
en-US
Abstract
In the low interest rate environment, traditional insurance policies become more expensive. In order to compete with other financial institutions or to reduce risk, insurers develop new products, such as investment-link policy, participating policies, and floating-rate annuity, to attract investors. We put our emphasis on the floating-rate annuity in this study.
Although the motivation for issuing floating-rate annuity is to reduce risk, the high declared interest rate or minimum return guarantee still introduce a serious insolvency problem for insurance companies. In current study, we investigate the asset and liability management for floating-rate annuity and try to find the optimal asset allocation to minimize the volatility of insurer’s equity. Simulation results show the asset allocation under different declared rate policies, guarantee rate , and foreign investment limit. The model can be used to analyze the investment strategy for the insurance companies.
Subjects
利率變動型年金
資產負債管理
解約行為
Floating-rate Annuity
Asset and Liability Management
Lapse Behavior
Type
thesis
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ntu-96-R94723032-1.pdf
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