中文摘要：

中国正在进行第二代偿付能力监管体系的建设。随着利率市场化的进行，新的监管体系中利率模型的选择成为关注焦点和研究重点，因为这将极大地影响寿险负债的评估结果，从而影响保险公司的财务报表与偿付能力。本文主要研究了欧盟SolvencyII中Smith—Wilson利率模型在中国市场的应用。首先，本文介绍了s-w模型的计算方法，并对中国市场应用s—w模型的参数进行设置；其次，本文以1～50年的银行间固定利率国债即期收益率为数据基础，计算出s—w模型的利率结果，并对重要参数进行敏感性分析；最后，本文将s．w模型与中国现行的750天移动平均法作对比，通过计算与分析一款两全保险产品的准备金，得出750天移动平均法确实具有时滞性，而s-w法能够及时、准确反映市场利率的变化。

英文摘要：

The second generation solvency regime is being constructed in China. With the process of interest rate liberalization, the interest rate model used in the new regulatory system has drawn much attention, for it plays an im- portant role in the valuation of reserves for life insurance business, and in turn, affects insurance companies＇ bal- ance sheet and solvency level. The main purpose of this paper is to study the effects of the S-W method proposed by Solvency 1~ to the Chinese insurance market. Firstly, we introduced the calculating formula of the S-W method and set its parameters under the consideration of Chinese market environment. Secondly, we ran the S-W method with spot curves of China＇ s government bonds with maturities of 1-50 years as the input and performed sensitivity analy- ses on important parameters. At last,we compared the S-W method to the current 750 working-day moving average method by analyzing the reserves of an endowment insurance product in three consecutive years. Through the com- parison, we found that there was indeed time-lag in the current 750 working-day moving average method and that the S-W method responded timely and exactly to the changing financial market.