广义责任准备金:概念、计算及应用——基于流动性溢价的寿险精算技术

Reserve Distribution: Concept,Calculation and Application—Actuarial technique in life insurance under liquidity premium

资金运用是寿险公司经营发展的重要基础。基于利率期限结构的流动性溢价现象,利用资产负债管理中的现金流匹配思想提出了寿险资金运用的期长优先原则,并进一步给出责任准备金的两个投资法则。在此基础上建立了广义责任准备金的概念和计算方法,介绍了其在寿险定价和红利计算中的应用。应用分析表明,寿险预定利率主要由长期利率所决定,分红寿险的利差红利水平则主要取决于长期利率与预定利率之间的差距,这个结论为我国改革人身保险的预定利率政策提供了可靠的理论依据。与传统的概念相比,广义责任准备金能够更加深刻地反映出流动性溢价下寿险资金的优化运用过程,实现了精算技术与资产负债管理在优化意义下的统一。

The use of funds is an important foundation for the operation and development of life insurance compa- nies. Based on the liquidity premium phenomenon of the term structure of interest rates, we proposed the principle of prioritizing long duration for life insurance fund investment for cash-flow matching in asset-liability management, and then offered two investment rules for liability reserves. On this basis, the concept and calculation method of reserve distribution were established, and its application to life insurance pricing and dividend calculation was also presen- ted. The analysis showed that the assumed interest rate of life insurance was determined mainly by the long-term in- terest rates, and the dividend spreads of participating life insurance depended mainly on the difference of long-term interest rate and the assumed interest rate. This conclusion would provide a reliable basis for reforming the regula- tion on assumed interest rate in China. Compared with the traditional concept, reserve distribution could exhibit the optimization process of the use of life insurance funds more profoundly, and achieve the alignment of actuarial tech- niques and asset-liability management optimally.