寿险公司负债价值计量研究  

A quantitative analysis on the value of liabilities of life insurance companies

作　　者：崔燕敏[1] 

机构地区：[1]首都经济贸易大学金融学院,北京100070

出　　处：《保险研究》2009年第2期40-46,共7页Insurance Studies

摘　　要：有效的资产负债管理以寿险公司资产和负债价值的正确计量为基础。寿险负债的长期性和多种嵌入期权的特性使寿险公司资产负债管理更具复杂性。寿险负债价值计量的精算方法注重于它的死亡率风险测定的技术秘诀和期限的长期性,但该方法使期权的效应无从体现,也使在利率和被保险人行为的静态假设不成立的前提下,负债价值被低估的情况发生。因此,必须辅之于财务方法来测量期权在寿险合约中的价值。本文对寿险合约中期权价值的测量及其对ALM的作用也做了探讨。The effectiveness of ALM is based on the appropriate measurement of assets and liabilities for life insurers. The characteristics of long duration and existence of various embedded options made liabilities more complicated to measure than other financial institutions. The actuarial measurement approach of life insurance liabilities focuses on its projecting of the mortality risk and long-term duration. However, this approach does not take into account the effects of embedded options, and runs the risk of undervaluing the liabilities in the situation of interest rate change and overturning of the assumption of policyholder＇s static behaviors. Therefore, accounting rules should be used to value those embedded options in life insurance contracts. This article also studied on the valuation of embedded options in life insurance contracts and how it affected ALM.

关 键 词：资产负债管理 负债价值 嵌入期权 

分 类 号：F840.62[经济管理—保险]