Interest Rate Risk - (C-3)
- In many jurisdictions, insurance companies have expended significant efforts to understand
the sensitivity of their investment portfolios to underlying market risks, especially interest rate
2001 11 - BIS - The Joint Forum - Risk Management Practices and Regulatory Capital Cross-Sectoral Comparison - 126p
- The mismatch between the cash flows from assets and liabilities for traditional products like universal life or fixed annuities is due mostly to interest rate risk. (p18)
2018 - IAIS - GLOBAL INSURANCE MARKET REPORT [GIMAR] - 72p
- Life insurance companies are also largely exposed to interest rate risks through long-term life insurance products with guaranteed interest rates. (p20)
2001 - BCBS - RISK MANAGEMENT PRACTICES AND REGULATORY CAPITAL CROSS-SECTORAL COMPARISON, Basel Committee on Banking Supervision, The Joint Forum - 126p
- The December 12, 1981 report on this subject discussed the risk of loss to a life insurance company from changes in the interest rate environment (now commonly referred to as "(C3) risk"), and its implications for actuarial opinions of reserve adequacy and minimum surplus tests.
- We noted a number of important projects underway and indicated chat we would monitor the projects and report to the TSAG on progress in the spring of 1982.
- We do that with this report.
1982-2, NAIC Proceedings
- A major problem facing the insurance industry today is interest rate fluctuations.
- If the terms of the assets are shorter than those of the corresponding liabilities, reinvestment risk arises because interest rates can fall.
- On the other hand, if assets are invested longer than liabilities, then disinvestment risk exists because interest rates can rise.
1988 - SOA - Algorithms for Cash-Flow Matching, Society of Actuaries - 8p