Interest Rate Risk - (C-3)
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 - [PDF-126]
- 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 - ALGORITHMS FOR CASH-FLOW MATCHING, Society of Actuaries - 8p
- C-3 Risk
- Committee on Valuation and Related Problems - Trowbridge Committee