【作者】 房海滨；

【导师】 王春峰；

【作者基本信息】 天津大学 ， 管理科学与工程， 2007， 博士

【摘要】 随着我国国民经济的持续、快速发展,保险业也获得了空前的发展机遇,行业规模不断扩大,经济效益逐年提高。面对日益复杂的市场环境和激烈的竞争,保险公司经营管理中存在的问题也逐渐开始显现,如保险公司偿付能力不足、利差损严重、保险资金使用效率低下等,其根本就是保险公司的资产负债管理问题。资产负债管理问题是影响到保险公司生存和发展的关键问题,一般而言,各保险公司会使用适宜的资产负债管理方法对其资产和负债做出适当安排,以达到降低债务偿付风险,增加盈利的目的。而我国保险公司缺乏成熟、完整的资产负债管理体系和科学有效的管理方法,发展中积累下的问题一直没有得到很好的解决。如何尽快提高保险资金的投资收益、保持较好的动态偿付能力、降低保险公司的破产水平是每个保险公司的必然选择。本文针对以上问题建立了嵌入期权的利率风险完全免疫模型,规避了利率风险;并将VaR和破产概率相结合的方法引入保险公司的资产负债管理中,最后研究了保险公司的最优资产配置问题,具体如下:1.将嵌入保单的退保期权看作利率衍生品,分别使用无套利分析和二叉树方法,对退保期权进行了定价;创造性地提出并使用“贴现率折扣法”,剔除了退保期权对保险负债定价的影响,并在此基础上建立了随机利率下的利率风险完全免疫模型,对保险公司资产负债组合进行了跨期调整,实现了较好的利率免疫效果。2.使用破产概率和VaR方法相结合的方法,对不同索赔额下的破产概率进行了对比分析,发现不同初始准备金对破产概率的影响只在开始一段时间有显著差异。并通过建立某一置信度下的破产概率VaR受限模型,得到了相同破产概率而参数设置不同的保险产品。最后考察了免赔额和理赔限额对保险公司破产概率的影响。3.在考虑被保险人死亡因素的情况下,建立了随机利率框架下的保险公司资产配置优化模型,并在保险人不同效用函数下对模型进行了求解,发现保险人在不同效用函数下的资产配置策略完全不同。更多还原

【Abstract】 With the steady and rapid development of Chinese Economy, the Chinese insurance industry has gotten an unprecedented chance to develop, which has resulted in the expansion of industry scale and yearly enhanced profits. Faced with the complicated market environment and heated competition, the managerial problems in the operation of insurance companies has appeared gradually, such as deficiency of solvency, loss of interest spread and low efficiency of insurance investment. These problems can be generalized as the problem of assent and liability management (ALM), which is key element to influence the existence and development of an insurance company. Generally, each insurance company can appropriately arrange the assets and liabilities to decrease the risk of solvency and increase the profits. However, most of Chinese insurance companies lack advanced and full system of ALM and effective methods for ALM, consequently the problems above have not been resolved. So how to enhance the profits from investment, keep good solvency ability and decrease the level of ruin probability are the necessary choices for each insurance company. To solve the problems involved, the paper makes an immunity model against interest rate risk with embedded option, and introduces the combination method of VaR and ruin probability into the ALM, and finally studies the problem of optimum assets allocation for insurance companies, the details are as follows:Firstly, with the embedded surrender option viewed as the interest rate derivative and method of no-arbitrage analysis and binary tree, the surrender option is priced. Moreover the paper suggests the method of discount deduction to eliminate the impact of surrender option on the liabilities pricing, based on which the interest rate risk immunity model is set up to adjust the combination of assets and liabilities intertemperally against the interest rate risk.Secondly, for the problem of ALM in non-life insurance companies, the ruin probabilities are computed under different claim distributions. With combination method of VaR and ruin probability, the paper finds that the impact of initial reserve fund on ruin probability under different claim distributions are obviously different in the beginning period by the comparison analysis. Moreover the ruin probability model with the VaR limitation is created to get the insurance products with different technique parameters, which supply the theoretical basis and technique support for the insurance companies to control the risk of ruin and diversify products effectively. Finally, the impact of franchise and the claim limitation on ruin probability are analyzed.Thirdly, with the consideration of mortality of insured people, the stochastic optimization model for asset allocation is set up within the frame of stochastic interest rate. By solving of the mode under different utility functions, the paper argues that the strategies of asset allocation under different utility functions are completely different from each other.更多还原