二叉树利率期限结构模型应用初探——以寿险公司资产负债管理为例

Application of Interest Term Structure Model of Binomial Tree ——Asset-liability Management of Life Insurance Companies for Example

近年来我国寿险公司经营风险加剧,寿险公司资产负债管理正逐渐成为实务界和学术界关注的焦点。本文在深入研究随机规划、利率期限结构、投资组合等相关理论的基础上,对比分析均衡模型和无套利模型的差异,指出无套利模型更适于构建随机规划问题中利率情景树的构建。在无套利模型中,二叉树Black-Derman-Toy模型简单易操作,可以避免三叉树模型计算量大,效率不高等缺点。因此本文采用二叉树方法以Black-Derman-Toy模型构造利率情景树,与随机规划模型相结合的资产负债管理方法,协调、管理寿险公司资产负债现金流,减少了随机规划模型处理随机利率分布的技术性难度。

Recently, owing to the intensified business risks in life insurance companies, asset-liability management of life insurance company has become the focal point among the scholars and actuaries.On the base of careful study of related theories on stochastic programming, interest term structure and portfolio, this paper makes a contrastive analysis of equilibrium model and non-arbitrage model, and points out that non-arbitrage model is more appropriate for the formation of interest rate situation tree in stochastic programming.In non-arbitrage model, Black-Derman-Toy model based on binomial tree is simple and easy to operate, which avoids some disadvantages of Black-Derman-Toy based on ternary-tree, such as huge amount of calculation and lack of efficiency. Therefore, the author builds interest rate situation tree by using Black-Derman-Toy model of binomial tree, and combine with stochastic programming for asset-liability management to harmonize and manage asset-liability cash flow of life insurance companies, which reduces the technical difficulty of stochastic programming in processing the distribution of stochastic interest rate.