基于双驱动型动态最优资产负债管理模型的万能险产品经营分析

A Study on the Operation of Universal Insurance——An Exploration on Dynamic Optimal Asset Liability Management

本文以一个简化的万能险账户为对象,根据我国保险公司经营的实际环境,建立了一个以万能险特别储备账户终值最大化为目标、包含资产配置比例和结算利率这两个关键决策变量、负债端和资产端双驱动的动态最优资产负债管理模型。利用该模型,可以分析不同市场条件下的万能险账户最优资产配置组合与保单关键变量的设计,模拟市场环境变化带来的影响,最终为万能险账户资金的投资策略和关键变量的确定提供一个有价值的分析方法。数值模拟结果表明,保险公司在万能险保单销售初期将采取高结算利率以带动新保单高销售增长的经营策略;而投保人的最优策略为在结算利率降为市场平均水平后择机选择退保;同时,万能险的市场参数、权益资产收益率的波动性和资产流动性变化都将给保险公司经营决策带来显著影响。

This paper studied the dynamic optimal asset liability management model for universal insurance in Chi- na on the basis of the actual practice of Chinese life insurance industry. The key decision-making variables were as- set allocation mix and crediting rate, its goal was to maximize the final value of the special reserve account, and the model was dually driven by the asset side and the liability side. Using this model, insurance companies can analyze the optimal asset allocation and crediting rate under different market conditions and simulate the effects of their changes, and ultimately offer an analytical method for deciding on the asset portfolio and key insurance policy varia- bles. Numerical simulation results showed that insurance companies preferred to set a high crediting rate to generate high sales growth rate at the initial stage of product launch. And for the policyholders, their optimal strategy was to surrender the policy after the crediting rate decreased to the market level. Besides, the operation of universal insurance are significantly influenced by the market structure of universal insurance, the volatility of equity assets and the liquidity of assets.