资产负债指数:资产负债匹配管理框架下的保险固定收益投资绩效评价

Asset and Liability Index: Insurer′s Fixed-income Investment Performance Evaluation under the Asset and Liability Matching Framework

保险机构必须在同时考虑资产和负债的基础上进行投资决策,提供足够回报支持未来预期的承诺支出。因此,保险绩效考核具备一定的特殊性和复杂性,使用一般的市场指数无法激励投资人活动与公司的价值取向形成一致。本文分析了保险投资的绩效评价要点,尝试在资产负债匹配管理的框架下,构建符合保险公司固定收益资产投资要求的定制化基准———资产负债指数,并进一步在评估中引入利率风险和信用风险计算风险调整后收益,为保险公司提供了一种有效的投资评价参考。

Insurance companies must make their investment decisions with consideration of their assets and liabilities at the same time and make sure to provide enough return to fulfill their expected payout commitment in the future. Consequently,insurance investment performance evaluation has its particularity and complexity. The ordinary market index can＇t incentivize the alignment of investment activities with the insurer＇s value orientation. In this paper,we tried to discuss the key points of evaluating insurance investment performance, and construct a customized benchmark, asset liability index, which better reflected the requirements of insurance fixed-income asset investment, under the frame of asset liability management. We further introduced the interest rate risk and credit risk in the method to calculate the risk-adjusted return. This offered an effective guidance for insurance company in evaluating its investment performance.