Research On Asset-Liability Management For Life Insurers

The indebted structure of life insurance companies is unique from other insurers'. In this paper, there is an application of immunity strategy, basing on a simulation from indebted structure of life insurance company's products, looking for better portfolio, to preferably averse interest risk when the interest rate of the portfolio in this product changes. Immunization strategy used here is significant to the modern economics. Nowadays, assets and liability management requires much more accurate evaluation of interest rate risk that based on mathematical models, and applying appropriate investment strategy to ensure the ability to pay debts. Here is a new immunization strategy which found on Nelson-Siegel methodology and fits the term structure of interest rate in Vasicek and CIR models, and then calculate the duration,convexity and diversity of the portfolio bond product. This strategy developed and modified the traditional immunization theory on Duration Analysis to adapt to the China market's situation. In addition, the strategy is used here to analyze the bond market in China and tested to verifying.There are five sections in this paper: first of all, it's the foreword to introduce the signification of the subject, summarize the literatures on Asset-liability Management both from china and abroad, and describe the research object and the methodology; the next section is a detailed analysis of the conceptions and advanced immunization strategy theories on the asset-liability management for life insurers; the third section is the implementation of asset management for life insurers, including the research on development process and status of the China bond market, as well as the calculation method (Binomial Model) of bond efficiency duration and convexity, and the selection method of bond sample; the fourth section is a research on immunization strategy for life insurers, as one-period and multi-periods immunization strategy and case study; the fifth section is a situation test on the portfolio that comes from this immunization strategy; the last section is a conclusion for the whole research in this paper, and also a prospection for the future development in this area.