Research On The Risk Management And Control Of Insurance Funds Usage

The risk management of insurance funds usage is an important part of risk management of insurance companies. This research is in accordance with the real need of insurance companies, and is helpful to improve risk control measures of insurance funds usage. At the same time, it is also beneficial to control operational risk for insurance companies in general. On the basis of the theories of insurance investment, financial investment and financial risk management, this paper focuses on the risk management and control of insurance funds usage at the micro level, the theories of financial mathematics are also employed as basic analysis tools. This paper is mainly involved with two areas: the risk management of investment channels for insurance funds and integrated control of insurance funds usage.Firstly, the sensitivity method of interest rate risk measurement and several typical models of interest rate risk are studied in this paper. Then, the risk control methods of bond investment, cash deposit and investment fund are discussed in general.Secondly, this paper focuses on the management model of insurance asset management companies. The optimal incentive contract models, which are respectively based upon the single variable and multi-variable, are put forward. According to the empirical results, the design of optimal incentive contract for insurance asset management companies should be based on not only the increase of insurance net asset value but also the introduction of variables reflecting market trends, such as market index. At the same time, the design of framework for the risk management system of insurance funds usage, the internal risk control system and investment decision management are interpreted. Furthermore, The paper attempts to provide a general framework of operational risk management of insurance funds usage.Thirdly, the paper focuses on the risk limitation quota management of insurance funds usage. The RAROC method and DEA method of investment performance evaluation are firstly introduced in this paper.. After then, a DEAHP model of investment performance evaluation is put forward. Empirical researches of the two evaluation methods are conducted separately. The results are two formulas: one is the acceptable investment fund asset proportion formula for insurance supervision institution, the other is the risk quota distribution formula based on the parameterθin DEA efficiency.In a sense, the risk of insurance funds usage is just the risk of asset/liability mismatching. The paper studies the asset/liability-matching problem, which is an important integrated risk control measures of insurance funds usage. Firstly the meanings, features, processes and reference to foreign experiences in the ALM of life insurance industry are discussed. Then, the paper addresses the selection of ALM mode for life insurance industry of China. On the basis of the above contents, the basic idea on the matrix type organizing system of ALM is bring forward. The features and the interest characteristics of non-dividend products, dividend products, Unit linked life insurance products and other interest sensitivity products are analyzed. Based on the analysis, several immunity models of gaps and interest risk are studied too. Finally, the paper introduce a series of asset/liability matching models including classic cash flow matching model, general immunity model, dedicated model, stochastic immunity model, stochastic dedicated model and stochastic duration matching model.Whereas the solvency is a key problem in the risk management of insurance funds usage, the paper makes a specific study on how to use the RBF neural network model on the solvency monitor and early warning system of life insurance companies. The theories, methods and procedures for monitoring and warning the single index and the solvency of life insurance companies are given separately.