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The Research Of Life Insurers Asset Allocation

Posted on:2008-04-02Degree:DoctorType:Dissertation
Country:ChinaCandidate:X H ChenFull Text:PDF
GTID:1119360242959377Subject:International Trade
Abstract/Summary:PDF Full Text Request
With the continuous developing of the life insurance industry, the total assets of life insurer is increasing year by year. And the investment method of life insurance funds is also gradually diversified. Although diversified investment can disperse risk, it needs insurers allocate asset reasonable to complete balance between acquiring return and undertaking risk. The interest risk management is the core of the life insurance company's ALM. It is the foundation of the asset allocation too. China is promoting interest marketed continuously thorough, so the change of interest rate becomes more common. More importantly, the change of interest rate influences the value of the assets and liabilities of the life insurer. It is significant to carry out optimal assets allocation management for life insurer under varied interest.The book itself is divided into seven parts. The Introduction not only sets forth the necessity for the research here but also reviews the related documents both at home and abroad. Chapter 1, investigating the environment and characteristics of life insurers'operating, gives a brief demonstration of the essentiality of the life insurance company's asset management, and pays much attention to the liabilities of life insurance funds. Chapter 2 comprehensively compares the asset allocation between some international life insurance companies, and specifically, a more detailed analysis of asset allocation and investment issues in British life insurance companies is provided, along with some related recommendations. Being based on the traditional portfolio theory, Chapter 3 looks at the optimal ratio of investment funds from a perspective of longer-term investment cycle, without considering the circumstances of liabilities, and thereby an equity investment of relatively low proportion is presented.Firstly, this paper reviews the foundation theories of the asset allocation briefly, and points out the special of the life insurer's asset allocation. Then this paper introduces our country's interest rate, and fits the current interest rate term structure with taking the CHIBOR as the interest rate samples in Vasicek model. The paper points the correlation between assets value- especially stock value -and interest rate elaborated from the theories, then carries on setting up a model to three types of assets and the liabilities(reserve) respectively with applying Vasicek model in the annuity product. We get the optimal asset allocation under stochastic interest rate. The number solution of model is based on the substantial evidence of the related data in our country, so it has meaningful to insurer in some certain.On the basis of the previous text, Chapter 6 provides several constructive proposals for the investment issues in China's life insurance companies.Three innovative ideas in this book include:Firstly, under the traditional CAPM model, capital market historical data of both China and the United States are applied to suggest a scenario for the future trends of China's capital market, and thereon the optimal ratio of capital allocation between bonds and equities in domestic life insurance companies is investigated.Secondly, with research on several related stochastic interest rate models, domestic latest data are utilized to provide an empirical analysis of the more suitable model for China at this stage, upon which it is concluded that, nowadays Vasicek model is favorable to China while CIR model might be a future optimum.Thirdly, while the correlation between assets value, especially stock value, and interest rate is expounded theoretically, models fixed to three categories of assets are set up respectively. And with the application of Vasicek model in the annuity product, the optimal asset allocation with respect to annuity under stochastic interest rate is achieved.
Keywords/Search Tags:Asset allocation, CAPM, stochastic interest rate, Vasicek model, annuity
PDF Full Text Request
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