保险公司的资产负债管理中的特殊利率风险分析——“嵌入条款”的期权定价分析

The Analysis of Special Interest Risk in Insurance Corporation's Asset-Liability Management——The Analysis in the Pricing of “Embed Clause”

保险公司作为金融企业的一种,其资产负债管理一般而言都采用久期和凸性的方法。但是保险公司的业务独特性使其资产负债管理不能仅仅局限于对资产和负债匹配的管理。寿险公司“的嵌入条款”,实际上是加大了公司的利率风险。尤其当宏观经济的波动比较大,比如利率处于上升的周期中,这种嵌入条款的存在使得公司对于同等的利率波动的损失可能行加大,也就是公司的风险程度上升。本文基于对“嵌入条款”的本质的分析,运用期权(surrenderoption)的定价方法来测算当前经济周期内这种风险的大小;并基于模型和当前的经济环境分析,给出一定的管理政策建议。

currently, the expectation of another rising round of interest rate is so intense in China, an unusual but potentiallyhuge risk is appearing onto the asset-liability management of those insurance companies （especially for those life insurance agencies.） And the common means, such as the Duration and Convexity method, which have been extensively adopted by the insurance companies can do nothing to the pricing and control of this risk. So we want to insert from the basic essence of ＂embed clause＂ from where this kind of risk comes from, with the help of pricing method of ＂surrender option＂, to generally estimate how large the certain risk that the insurance companies in China are facing in the very future. By the way, we could give some suggestions to those exposed companies on the basis of our following analysis