利率长记忆性识别及其对寿险公司经济资本的影响

Long Memory Identification of Interest Rates and Its Impact on Economic Capital of Life Insurance Companies

利率作为金融市场的核心变量,对寿险公司的稳健经营具有至关重要的影响。本文对国内不同期限利率序列的赫斯特指数进行测算,并设计Wald统计检验和混洗序列检验,发现利率序列具有显著的长记忆性特征。在此基础上,使用分数CIR模型对连续时间长记忆性利率进行建模,基于神经网络间接推断进行参数估计,并采用嵌套随机模拟方法研究了利率长记忆性对寿险公司利率风险经济资本评估的影响。研究结果显示,1个月及以上期限的利率序列具有显著的长记忆性特征,若忽视利率长记忆性会低估利率均值回复速度和波动性;利率的长记忆性会增加极端事件的概率,使得寿险公司面临更大的风险损失可能性,增加寿险公司经济资本评估的尾部风险。寿险公司进行经济资本评估时应细致分析并纳入利率的长期依赖结构,以确保对潜在的尾部风险有充分预见,从而在面对复杂多变的市场环境时,能够维持公司的财务稳健性和长期价值创造能力。

Interest rates,as core variables in financial markets,have crucial impacts on the sound operation of life insurance companies.This paper calculates the Hurst exponent of domestic interest rate sequences with different maturities and designs Wald statistical tests and shuffle sequence tests to identify the significant long memory characteristics of interest rate sequences.Building upon this,the continuous-time long memory interest rates are modeled using the fractional CIR model,with parameter estimation conducted through neural network indirect inference.Moreover,nested random simulation methods are employed to study the impact of interest rate long memory on the assessment of interest rate risk economic capital for life insurance companies.The research findings reveal that interest rate sequences with maturities of one month and above exhibit significant long memory characteristics.Neglecting interest rate long memory would underestimate the mean reversion speed and volatility of interest rates.Furthermore,interest rate long memory increases the probability of extreme events,heightening the potential risk of losses for life insurance companies and increasing the tail risk of economic capital assessment.Life insurance companies should meticulously analyze and incorporate the long-term dependency structure of interest rates when conducting economic capital assessment to ensure sufficient foresight into potential tail risks.This will enable them to maintain financial stability and long-term value creation capabilities in the face of complex and volatile market environments.