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首页> 外文期刊>European Actuarial Journal >Foreign-currency interest-rate swaps in asset–liability management for insurers
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Foreign-currency interest-rate swaps in asset–liability management for insurers

机译：保险公司资产负债管理中的外币利率掉期

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We consider an insurer with purely domestic business whose liabilities towards its policy holders have long durations. The relative shortage of domestic government bonds with long maturities makes the insurer’s net asset value sensitive to fluctuations in the zero rates used for liability valuation. Therefore, in order to increase the duration of the insurer’s assets, it is common practice for insurers to take a position as the fixed-rate receiver in an interest-rate swap. We assume that this is not possible in the domestic currency but in a foreign currency supporting a larger market of interest-rate swaps. Monthly data over 16 years are used as the basis for investigating the risks to the future net asset value of the insurer from using foreign-currency interest-rate swaps as a proxy for domestic ones in asset–liability management. We find that although a suitable position in swaps may reduce the standard deviation of the future net asset value it may significantly increase the exposure to tail risk that has a substantial effect on the estimation of the solvency capital requirements.
机译：我们考虑一家纯粹从事国内业务的保险公司，其对保单持有人的责任期限长。长期到期的国内政府债券相对短缺，使得保险公司的资产净值对用于负债评估的零利率波动敏感。因此，为了增加保险公司资产的存续期，保险公司通常会在利率掉期中担任固定利率接受者。我们假设这不可能以本币实现，而是以支持更大范围的利率掉期市场的外币实现。使用16年以上的月度数据作为调查保险公司未来资产净值风险的基础，该风险是通过在资产负债管理中使用外币利率掉期替代国内利率掉期来实现的。我们发现，尽管掉期中的合适头寸可以减少未来净资产价值的标准差，但它可能会显着增加尾部风险敞口，这对估计偿付能力资本要求具有重大影响。

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