基于生产时滞CIR模型的寿险公司利差风险管理  

Interest Spread Risk Management of Life Insurance Companies Based on the CIR Model with Production Delay

作　　者：黄甫喆 李秀芳[2] 陈孝伟 HUANG Fuzhe;LI Xiufang;CHEN Xiaowei

机构地区：[1]南开大学经济学院 [2]南开大学南开-泰康保险与精算研究院 [3]南开大学金融学院

出　　处：《中央财经大学学报》2025年第1期40-58,共19页Journal of Central University of Finance & Economics

基　　金：国家资助博士后研究人员计划(项目编号:GZC20240761)。

摘　　要：寿险公司使用的经典利率模型主要依赖当前横截面数据,难以充分反映债券风险溢价的预测信息,可能引发资产负债错配和利差损等运营风险。为了提高利率预测准确性及更准确地评估和管理利差风险,本文采用基于生产时滞的CIR模型对利率风险进行建模,深入研究其对寿险公司资产负债评估的影响,同时提出利差风险防范与化解策略。本文首先利用中国国债市场数据,实证检验了远期利率的历史路径在预测零息债券超额收益方面的增益效果,从而证明了引入基于生产时滞的非马尔可夫CIR模型的必要性。进一步地,本文构建了考虑时滞的寿险公司资产负债评估模型,提高了预测的准确度。数值分析结果显示,通过加强资产负债的联动管理、有效降低负债成本、合理安排管理期限等策略,均能有效降低寿险公司的利差风险。最后,本文建议在风险建模、资产负债管理等方面要充分考虑时滞信息,提升寿险公司利差风险管理水平。The canonical interest rate models used by life insurance companies mainly rely on current cross-sectional data,making it difficult to fully reflect the predictive information of bond risk premia,which may lead to operational risks such as asset-liability mismatches and interest spread losses.In order to improve the accuracy of interest rate predictions and manage interest spread risk,this paper adopts a CIR model based on production delay to model spread risk,deeply investigates its impact on asset-liability assessment of life insurance companies,and proposes strategies for preventing and mitigating interest spreed risk.Using data from the Chinese government bond market,this paper empirically tests the enhanced effect of the historical path of forward rates in predicting the excess returns of zero-coupon bonds,thereby demonstrating the necessity of introducing a non-Markovian CIR model based on production delay.Furthermore,this paper constructs an asset-liability assessment model for life insurance companies that considers time delay,improving the accuracy of predictions.Numerical analysis results show that strategies such as strengthening the integrated management of assets and liabilities,effectively reducing liability costs,and arranging management durations reasonably can all effectively reduce the interest spread risk of life insurance companies.Finally,this paper suggests that path-dependent information should be fully considered in risk modeling and asset-liability management to enhance the level of interest spread risk management for life insurance companies.

关 键 词：资产负债管理 利差风险 寿险公司 时滞 非马尔可夫 

分 类 号：F840.32[经济管理—保险] F015