中国寿险业利率风险的实证分析及其情景测试

本文从实证的角度分析了我国近几年来的降息对寿险业负债的影响。定量刻画了寿险业准备金对利率风险的暴露程度，在此基础上，参照美国保险监督官协会采用的现金流量测试方法，对我国某保险公司1999年末的资产负债状态进行了情景分析与应力测试，结果证明我国寿险业目前风险管理绩效尚可，但仍需进一步完善。

A Empirical Analysis on the Risk of Interest rate to Life Insurance and Its Situation Test

Interests-rate risk is one of the key factors influencing the operation of life insurance industry. This paper analyses positively the influence on the indebtedness of our life insurance, brought about by recent years' continual interests-rate cut, and depicts quantitatively the exposure level of the reserve fund to the interests-rate risk. On the basis of this, the paper further does the situation analysis and stress test to the condition of assets and liabilities of an insurance company at the end of 1999. The result is turned out to be that the performance of present risk management in our life insurance industry is good and yet to have to be further perfected.