保险公司资产负债管理问题研究

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1、天津大学博士学位论文保险公司资产负债管理问题研究姓名：房海滨申请学位级别：博士专业：管理科学与工程指导教师：王春峰20061201AbstractWiththesteadyandrapiddevelopmentofChineseEconomy,theChineseinsuranceindustryhasgottenanunprecedentedchancetodevelop，whichhasresultedin也eexpansionofindustryscaleandyearlyenhancedprofits．Facedwiththecomplicatedmarke

2、tenvironmentandheatedcompetition，themanagerialproblemsintheoperationofinsurancecompanieshasappearedgradually,suchasdeficiencyofsolvency,lossofinterestspreadandlowefficiencyofinsuranceinvestment．TheseproblemsCanbegeneralizedastheproblemofassentandliabilitymanagement(ALM)，whichiskeyeleme

3、nttoinfluencetheexistenceanddevelopmentofaninsurancecompany．Generally,eachinsurancecompanyCanappropriatelyarrangetheassetsandliabilitiestodecreasetherisicofsolvencyandincreasetheprofits．However,mostofChineseinsurancecompanieslackadvancedandfullsystemofALMandeffectivemethodsforALM，conse

4、quentlytheproblemsabovehavenotbeenresolved．Sohowtoenhancetheprofitsfrominvestment，keepgoodsolvencyabilityanddecreasethelevelofruinprobabilityarethenecessarychoicesforeachinsurancecompany．Tosolvetheproblemsinvolved，thepapermakesanimmunitymodelagainstinterestrateriskwithembeddedoption，an

5、dintroducesthecombinationmethodofVaRandruinprobabilityintotheALM，andfinallystudiestheproblemofoptimumassetsallocationforinsurancecompanies，thedetailsareasfollows：“Firstly,wi也也eembeddedsurrenderoptionviewedas也einterestratederivativeandmethodofno．arbitrageanalysisandbinarytree，thesurrend

6、eroptionispriced．Moreoverthepapersuggeststhemethodofdiscountdeductiontoeliminatetheimpactofsurrenderoptionontheliabilitiespricing，basedonwhichtheinterestrateriskimmunitymodeliSsetuptoadjustthecombinationofassetsandliabilitiesintertemperallyagainsttheinterestraterisk．Secondly,fortheprob

7、lemofALMinnon-lifeinsurancecompanies，theruinprobabilitiesarecomputedunderdifferentclaimdistributions．WithcombinationmethodofVaRandruinprobability，thepaperfindsthattheimpactofinitialreservefundonrainprobabilityunderdifferentclaimdistributionsareobviouslydifferentinthebeginningperiodby