老师您好!我翻了下基础班讲义,为何life insurance 的asset的duration是大于liability的duration呢,谢谢!
你说的是这句话吗“Life insurance companies are particularly sensitive to the losses that can result during periods of rising interest rates from holding assets with an average duration that exceeds the average duration of liabilities. ”这句话里的asset duration大于liability duration是一个假设,就是如果asset duration更大,那么r上升会导致更大的损失。
何旋hexuan · 2017年06月02日