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Analysis on unrealized capital gains in stocks of Japanese life insurance companies.
Abstracts and Reviews
Although there are such factors as fluctuation of stock prices and exchange rate in the risks of asset investment, the authors concentrated ourselves on the fluctuation of interest rates and discussed the problem in the order of risks against the expected rate of interest, risks against the management of total liability, risks against the time lag resulting from installment yielding of investment result and the risks relating to the period of investment yield. The measures to cope with these liability risks may differ according to each case of individual risks, and it is extremely difficult to find out the comprehensive measure which can be applied to all these risks. However, since it is considered possible to consider the measure to deal with the individual risk respectively, it should be necessary to implement measures suitable for each risk, considering the situation of total liabilities of the company. It is considered that actuarial counter actions in the field of investment is falling behind comparing with other countries, but it is becoming increasingly urgent for in Japan to take the insurance companies countermeasures step by step to avoid these risks, and cope with them in theoretical manner so that the sound development as insurance company may not be (Authors) impeded. Keywords:
Interest
Rates, Liability
Risks.
061056 (E50, BlO) The fluctuation of yield on total assets. Koyoma O., Nagata M., Japan, Transactions International
Congress
of Actuaries,
Montreal,
of
Vol. 3,
1992, pp. 163-I78.
In recent years Japanese life insurance companies have grown so rapidly that drastic changes were often observed in the distribution of working assets. Over this period, the average yield of total assets remained relatively high, but now the situation has changed, mainly due to the increasing tendency towards low interest rates in the financial markets. On the other hand, the assumed interest rate for pricing increased to a considerably high level. Accordingly, the difference between the average yield and the assumed interest rate has become very small. In 1990 the authors reduced the assumed interest rates in this situation. In this paper, they designed a time series model for the average yield on total assets, and tested the level of new rates by using this model. As a result of this, these rates are considered reasonable. (Authors) Keywords:
Interest Rate, Time Series Model.
19
061057 (E50, E61) Analysis Japanese
on unrealized capital gains life insurance companies.
Ino R., Japan, Proceedings II 7-129.
I.C.A.,
in stocks
of
Vol. I, 1992, pp.
Since listed stocks are evaluated by the “cost or market which is lower” rule in the Japanese accounting system, the market value is usually higher than book value and the difference (called “Unrealized capital gains”) is now enormous. The paper analyzes the stability of unrealized capital gains of Japanese life insurance companies by using a Multi-Factor Model in Japanese stock market. (Author) Keywords:
Market
Value,
Book
Value,
Multi-Factor
Model. 061058 (E50, E61) The impact of fluctuations insurers. Tsujisaka
in the interest rate on life
I., Japan, Proceedings
I.C.A.,
Vol. I, 1992,
pp. 229-243.
Along with the recent progress of financial deregulation and internationalization, interest rates are increasingly more volatile, which greatly impacts the revenue structure of Japan’s life insurers. Here the authors have examined the impact that changes in interest rate risk (including stock price volatility and exchange risk) have had on life insurers and considered possible responses and what directions to pursue in the future. As explained above, the triple punch of interest rates, exchange rates and stock prices incurred by Japan’s life insurers in the recent years necessitates radical reconsideration of solvency standards, the dividend system and internal reserve, and development of Japanese asset/liability management system (ALM) (the long term cash flow feedback simulation which considers income gains, capital gains, latent profits and losses on stock and real estate investments, losses and gains on foreign currency denominated assets, accounting standards, and tax regulations). With an ALM system like this at our command, one can, for the first time, maximize overall revenue while controlling risk. (Author) Keywords: Surplus.
Interest Rates, Exchange Rates, Stock Prices,
061059 (E50, M22) Simulation as a management insurer.
tool
in a general
Although there are such factors as fluctuation of stock prices and exchange rate in the risks of asset investment, the authors concentrated ourselves on the fluctuation of interest rates and discussed the problem in the order of risks against the expected rate of interest, risks against the management of total liability, risks against the time lag resulting from installment yielding of investment result and the risks relating to the period of investment yield. The measures to cope with these liability risks may differ according to each case of individual risks, and it is extremely difficult to find out the comprehensive measure which can be applied to all these risks. However, since it is considered possible to consider the measure to deal with the individual risk respectively, it should be necessary to implement measures suitable for each risk, considering the situation of total liabilities of the company. It is considered that actuarial counter actions in the field of investment is falling behind comparing with other countries, but it is becoming increasingly urgent for in Japan to take the insurance companies countermeasures step by step to avoid these risks, and cope with them in theoretical manner so that the sound development as insurance company may not be (Authors) impeded. Keywords:
Interest
Rates, Liability
Risks.
061056 (E50, BlO) The fluctuation of yield on total assets. Koyoma O., Nagata M., Japan, Transactions International
Congress
of Actuaries,
Montreal,
of
Vol. 3,
1992, pp. 163-I78.
In recent years Japanese life insurance companies have grown so rapidly that drastic changes were often observed in the distribution of working assets. Over this period, the average yield of total assets remained relatively high, but now the situation has changed, mainly due to the increasing tendency towards low interest rates in the financial markets. On the other hand, the assumed interest rate for pricing increased to a considerably high level. Accordingly, the difference between the average yield and the assumed interest rate has become very small. In 1990 the authors reduced the assumed interest rates in this situation. In this paper, they designed a time series model for the average yield on total assets, and tested the level of new rates by using this model. As a result of this, these rates are considered reasonable. (Authors) Keywords:
Interest Rate, Time Series Model.
19
061057 (E50, E61) Analysis Japanese
on unrealized capital gains life insurance companies.
Ino R., Japan, Proceedings II 7-129.
I.C.A.,
in stocks
of
Vol. I, 1992, pp.
Since listed stocks are evaluated by the “cost or market which is lower” rule in the Japanese accounting system, the market value is usually higher than book value and the difference (called “Unrealized capital gains”) is now enormous. The paper analyzes the stability of unrealized capital gains of Japanese life insurance companies by using a Multi-Factor Model in Japanese stock market. (Author) Keywords:
Market
Value,
Book
Value,
Multi-Factor
Model. 061058 (E50, E61) The impact of fluctuations insurers. Tsujisaka
in the interest rate on life
I., Japan, Proceedings
I.C.A.,
Vol. I, 1992,
pp. 229-243.
Along with the recent progress of financial deregulation and internationalization, interest rates are increasingly more volatile, which greatly impacts the revenue structure of Japan’s life insurers. Here the authors have examined the impact that changes in interest rate risk (including stock price volatility and exchange risk) have had on life insurers and considered possible responses and what directions to pursue in the future. As explained above, the triple punch of interest rates, exchange rates and stock prices incurred by Japan’s life insurers in the recent years necessitates radical reconsideration of solvency standards, the dividend system and internal reserve, and development of Japanese asset/liability management system (ALM) (the long term cash flow feedback simulation which considers income gains, capital gains, latent profits and losses on stock and real estate investments, losses and gains on foreign currency denominated assets, accounting standards, and tax regulations). With an ALM system like this at our command, one can, for the first time, maximize overall revenue while controlling risk. (Author) Keywords: Surplus.
Interest Rates, Exchange Rates, Stock Prices,
061059 (E50, M22) Simulation as a management insurer.
tool
in a general