基于二层规划的寿险公司资产负债管理研究

A Study on Asset and Liability Management of Life Insurance Company Based on Bi-level Programming

中国保监会新颁布的"偿二代"体系中明确指出,保险公司的风险监管包括市场风险中的利率风险和以净现金流为代表的流动性指标,寿险公司业务的长期性特点决定了其经营成果受利率风险的影响远大于财险公司和商业银行等其他金融机构。当前我国金融市场中,负债主导型资产负债管理很难找到与负债久期相匹配的金融产品,如何实现资产和负债合理的匹配管理成为寿险公司经营决策的重点和难点。本文建立基于二层规划的资产负债管理模型以解决传统方法可能存在的资产负债不匹配的问题,同时优化传统方法的风险控制,以期达到可承受的风险程度下利润最大化。结论表明二层规划模型可以很好地刻画寿险公司资产负债管理的决策问题,具有一定的理论价值和实践意义。

The C-ROSS System newly issued by China Insurance Regulatory Commission （CIRC） makes clear that the risk regulation of insurance companies include the interest rate risk of market risks and the liquidity index represented by net cash flow. Life insurance company＇ s long-term business characteristics determine that its operation results are much more affected by the interest rate risk than the property insurance industry, commercial banks and other financial institutions. In the current financial market of China,itis very difficult to find financial products with matching durations for the liabilities-led asset liability management, therefore how to achieve the reasonable matching of assets and liabilities is the focus and difficulty of life insurance companies. We should try to establish the asset and liability management model based on the bi-level programming in order to address the mismatching problems in the traditional method, and optimize the traditional risk-control methods to maximize profits under acceptable level of risks. The research results indicate that the bi-level programming models can properly describe life insurer＇s decision-making on asset and liability management, therefore has certain theoretical value and practical significance.