分红寿险资产负债管理优化方法的改进  

A Research on Improving Asset-Liability Management of Participating Life Insurance

作　　者：唐博 TANG Bo

机构地区：[1]中央财经大学金融学院

出　　处：《保险研究》2018年第7期60-70,共11页Insurance Studies

基　　金：中央财经大学青年科研创新团队支持计划资助

摘　　要：结合我国分红寿险多采用现金分红机制的现状,在考虑退保和保单失效这两个因素的基础上,构建了基于现金分红机制的寿险产品多阶段随机优化资产负债管理模型。在规划过程中,特别考虑了财富实现的平稳性要求,以每个决策区间末扣除惩罚成本的资产净值最大化作为子目标,并将子目标函数通过权重因子加和,在兼顾安全性、流动性等要求下,对资产组合进行动态调整。实证研究表明,兼顾财富实现过程的目标函数设定,特别是递增权重因子的形式,能够更为灵活地应对预期资产收益率的变动,获得更高的期末财富累积值,且资产净值变动更为平缓,为保险机构实现更为有效的资产负债管理提供决策支持。According to the situation that China＇s participating life insurance mostly offers cash dividends,a multi-stage stochastic programming for participating life insurance asset-liability management was proposed based on the cash dividend hypothesis and with consideration of surrenders and lapses. To smooth the realization of the net wealth,we used net assets with deduction of penalty cost at the end of each decision-making period as the sub-objective,summed up the weighted sub-objective function with considerations of safety,liquidity and so on,and made a dynamic readjustment of the asset portfolio. Empirical results showed that the multi-objective function,especially increasing weights of factors,could better cope with the asset yields changes,achieve higher end-of-term asset value,and smoother net wealth movement. This can provide an effective decision-making support for asset-liability management of insurance companies.

关 键 词：分红寿险 资产负债管理 情景生成 多阶段随机规划 

分 类 号：F840.62[经济管理—保险]