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衡量寿险公司负债利率风险最直接的方式是计算保单持续期,寿险保单的持续期因现金流量模式不同与债券差异较大,本文利用寿险保单现金流变化特征估算非趸缴保费保单的存续期间,结果发现:不同险种的现金流入存续期基本一致,现金流出存续期差异较大。有效保单率、贴现利率是影响现金流入和流出存续期的共同因素,缴费年限只影响现金流入存续期。各险种的现金流入存续期介于4.73-8.147之间。现金流出的存续期介于8.62-22.735之间。有效保单现金流入和流出存续期的大致比是1:3。
The most direct way to measure the life insurance company’s debt interest rate risk is to calculate the duration of the insurance policy. The duration of the life insurance policy varies greatly with the bond pattern because of different cash flow patterns. In this paper, The results show that: the survival of cash inflows of different types of insurance is basically the same, the cash outflow duration is quite different. The effective policy rate and discount rate are the common factors that affect the cash inflow and outflow duration, and the payment period only affects the life of the cash inflow. The life of the various types of insurance inflows ranged from 4.73 to 8.147. The duration of cash outflows is between 8.62-22.735. The approximate ratio of effective policy cash inflows and outflows duration is 1: 3.