Research And Application In Asset-Liabilities-Management Of The Life Insurance Company In Model VaR

The foundation and core of risk management are quantitative analysis and assessment to the risk, namely risk measurement. With the increase of the scale , dynamics and complexity of the financial market and financial transaction, development of financial theory and financial project, financial market risk measure technology become more synthesize and complicated. The VaR model is a major method of the risk measurement of financial market at present. The VaR model can measure various kinds of market risks even credit risk. The VaR model is applied to the analysis of investment combination, financial derivative, market risks and credit risk extensively now. The VaR model plays an important role in three respects mainly as a kind of tool that information disclosure, resource distribution and performance appraisal. Asset-Liabilities-Management is effective tool that every insurance company carried on financial administration, risk management. Its goal is prevent bankrupt and attempting to guarantee technological solvency; manage the net cash flow, evade the mismatch of cash flow of product mix and investment combination. Life insurance company asset-liabilities administrative skill is to use bond price sensitiveness of interest rate namely Duration to measure the interest rate risk of assets and debt mainly, and then has set up the cash flow matched models and immune model which manage the interest rate risk. Traditional Asset-Liabilities-Manage model such as Duration model can measure the interest rate risk well, but as the innovation of the life insurance products, aggravation of the competition and development of the financial market, investment orientation of the life insurance is diversified day by day and the trend of the securitization of the investment is more and more obvious. This makes assets of the life insurance company face more risks and more complicated financial instruments, the limitation of the traditional Asset-Liabilities-Management technology such as Duration model is more outstanding .The application in the field of life insurance of VaR model will inevitable bring a revolution to Asset-Liabilities-Management skill of life insurance. This text has carried on research mainly to VaR model, the Asset-Liabilities Management theory and technology and the application of VaR model in the asset-liabilities management of the life insurance, Put in order and synthesize forefathers' research, has done some improvement. The main conclusion is as follows: 1.Instead of point estimate interval estimate may improve the effect of VaR。2.When calculating the probable lost of stock or stock combination with capital assets price model (CAPM) the constant can't be lost, otherwise the value of VaR will be larger. 3.Based on the calculation of multi-dimension Normal distribution a new VaR which measure financial risks is shown. It can appraise the losing and possibility of total assets when the market factors change and enable the financial risks administrator to expect the market risk and make the corresponding counter measure. 4.Use the concept of Convexity and extreme value theory of function to improve the traditional immune model, the result is it will be better that the asset matches liabilities. 5. Traditional Markowitz model is not easy to solve. Introduce VaR may predigest the model and make the investor definitude its arm. 6. VaR model can be applied to the appraisal of risk of asset-liabilities of the life insurance company. There is a very good result. As the gradual enlargement of the investment channel of the life insurance and the diversification of life insurance assets and the quickening of market-based process of interest rate, life insurance enterprises should adopt VaR method progressively. 7. improving the immune model by VaR model make the life insurance company manage not only interest rate risk but also all kinds of market risks. So it can optimize the Asset-Liabilities-Management.