财产保险公司资产负债管理多维量化评估体系研究

Multi-dimensional Quantitative Asset-Liability Management Assessment System of Non-life Insurance Companies

良好的资产负债管理是保险业可持续发展的基石,也是支持保险业在日益复杂的风险环境中保持稳健发展、防范系统性风险的重要保障。近年来,随着我国金融市场发展,业务产品创新加快,保险业在资产端与负债端的业务结构和风险特征出现了新情况、新变化。特别是部分保险公司缺乏有效的治理结构,采取激进经营、激进投资的策略,导致业务快进快出、风险敞口过大以及流动性问题,对保险公司资产负债匹配管理、风险控制提出了挑战。本文介绍了财产保险公司资产负债多维度量化评估规则设计原理、主要评估模型和评估方法,针对财产保险公司的负债特性提出的沉淀资金匹配,在成本收益匹配中有机地将资产投资收益与承保业务综合成本进行匹配,在现金流匹配模式中打破了僵化的匹配模式,解决了长期困扰财产保险公司的资产负债期限不匹配的问题,对财产保险公司资产负债管理具有重要意义。

Good asset-liability management is the cornerstone for the sustainable development of the insurance industry,and it is also an important guarantee to support the steady development of the insurance industry in an increasingly complex risk environment and to guard against systemic risks.In recent years,with the development of China’s financial market and the acceleration of business and product innovation,new situations and changes have taken place in the business structure and risk characteristics of the insurance industry at the asset and liability sides.Especially,some insurance companies lack effective governance structure and adopt radical management and investment strategies,which lead to fast-in and fast-out business,excessive risk exposure and liquidity problems,and pose new challenges to their asset-liability matching management and risk control.This paper systematically introduced the design principle,main evaluation models and evaluation methods of the multi-dimensional quantitative evaluation rules for assets and liabilities of property insurance companies.According to the liability characteristics of property insurance companies,the retained-funds matching solved the duration mismatch of assets and liabilities that had perplexed property insurance companies for a long time.In the cost-return matching,the asset investment income was organically matched with the combined ratio of businesses underwritten,and the rigid cash flow matching was abandoned.These asset-liability management methods can exert important strategic significance for property insurance companies.