Interest Rate Risk - (C-3)

C. L. Trowbridge coined the term C-3 risk to denote the risk of losses due to changes in interest rates.

1988 - ALGORITHMS FOR CASH-FLOW MATCHING, Society of Actuaries - [PDF-8p]

  • 1982 - SOA - THE FINANCIAL RISK TO LIFE INSURANCE COMPANIES FROM CHANGES IN INTEREST RATES - [PDF-56p]

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]

2013 NAIC State of the Life Insurance Industry p137
2013 NAIC State of the Life Insurance Industry p137
  • 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

  • SOA
    • C-3 Risk
    • Committee on Valuation and Related Problems - Trowbridge Committee