The Applied Research On DFA In Asset-liability Management Of China's Non-life Insurance Companies

Since the restoration of the domestic insurance industry in 1980, china's insurance industry has been experiencing sustained, healthy and rapid development. Especially since the sixteenth congress, china's insurance industry has actively practiced the scientific concept of development, deepened reform, promoted innovation, and become one of the fastest growing industries. However, going with the growth in business volume, the external environment faced by non-life insurance companies has undergone profound changes. Market competition is more and more intense, business environment risk, underwriting risk, investment risk, catastrophe risk and other risk factors are more and more severe. Particularly form the financial crisis, significant changes on capital market has generated adverse effects on the investment income to the the entire insurance industry. The economic loss caused by the freezing rain snow in early 2008 on the south and the wenchuan earthquake is more than 100 million yuan, the economic losse caused by yushu earthquake and the drought in part of the southern provinces from the end of 2009 to the early 2010 is also very serious. The above factors all put forward a higher demand on the non-life insurance company's investment specialization and asset-liability management.However, the asset-liability management techniques adopted by china's non-life insurance company are mostly static, traditional, with few dynamic asset-liability management techniques which is almost not used in non-life insurance companies. In view of this situation, the paper is to probe the dynamic asset-liability management techniques suited to china's non-life insurance, targeting non-life insurance company, based on the previous research results.Firstly, this paper started from the asset-liability management theories, inducted the need to implement dynamic asset-liability management in non-life insurance companies form the current situation that the uncertainty of external operating environment is continue to increase, the risk factors affecting its operating are increasing, and the traditional and static asset-liability management techniques can not meet the demand for executing asset-liability management. Then, the paper conducted a comprehensive analysis on the risks, selected the key risk factors can be quantified affecting non-life insurance companies'assets and liabilities management, identified the main variable parameters, and constructed DFA models suite to non-life insurance companies on the above basis. Finally, it showed the DFA application in asset-liability management of non-life insurance company, taking the Chinese People's Insurance Company for example.