Interest rate risk management in life insurance companies.

Summary During the last decade, the variability of interest rates has increased, putting life insurance companies at greater financial risk. To maintain their profitability and solvency, companies must manage this risk as well as possible. The thesis proposes to define an optimal policy of exposure to interest rate risk. It insists on the theoretical justifications for the existence of such a policy. The second part presents the methods available to obtain and maintain an optimal degree of risk exposure. The central tool used is duration, the theory, scope and effectiveness of which are discussed in detail. The third part empirically tests the effectiveness of the solutions implemented by insurance companies. The solutions are both legal and financial. The former provide a favorable environment for a good management of interest rate risk, the latter allow to reach the objectives designed by the first part: the optimal exposure to interest rate risk and the stability over time of the chosen level of exposure.