寿险公司资产负债管理模型研究——基于负债端缴费期限结构选择的视角

建立一个引入保险产品缴费期限结构的多期动态资产负债管理模型，改善以往研究中对负债端的简化，使得资产配置决策与产品销售决策联系紧密。同时，根据多数假设对该模型进行实证研究，结果显示：定期债券作为寿险公司主要投资品种保持了较高的配置比例，而股票基金配置比例受股市景气度影响较大；期缴产品为寿险公司产品销售的主力，而趸缴产品受股市景气度影响较大；相较于股票基金投资收益率，期望利润现值对定期债券市场利率的变动更为敏感；股票基金减持比例的变化同时影响资产配置及产品销售决策，寿险公司应主动加强股票资产配置的灵活性。

A Research on Asset Liability Management Model of Life Insurance Company-From the Perspective of Premium Payment Term Structure Optimization

This paper introduced insurance products with different period of premium payment, established a dynamic asset-liability management model based on multi-stage stochastic programming, which takes the present value of expected profits of life insurance companies as the optimization objective, and takes the sales ratio of insurance products with different period of premium payment, the invest ratio of stock funds and fixed-term bonds as decision variables. Empirical results show that fixed-term bonds, as the main investment varieties of life insurance companies, maintain a high invest ratio, while the invest ratio of stock funds is greatly affected by the stock market prosperity; interim payment products are the main selling force of life insurance companies' products, while wholesale products are more affected by the stock market prosperity; compared with the rate of return of stock funds, the present value of expected profit is more sensitive to the changes of interest rate in the fixed-term bond market; the change of the sell ratio of stock funds affects the asset allocation and product sell decision-making at the same time, life insurance companies should take the initiative to strengthen the flexibility of stock asset allocation.