The Study, Based On Quantitative Methods Of Multi-objective Planning Asset-liability Management Of Insurance Companies

Assets and Liabilities Management (ALM) is through the carefulcoordination of assets and liabilities management, makes a financial institutionoperation more robust, safety, and has a compatible profitability. Insurance companiesand insurance regulators are very concerned about it. Insurance company, if the assetsand liabilities appear un-match, this will cause the insurance company profitability isreduced, solvency is abate, and may even business crisis. In the1980's,in Japan andAmerica, a number of large insurance company successively collapse because can'thandle the relationship between assets and liabilities, the insurance industry hasbrought great hit. Since then, the insurance industry in developed countries isdedicated to the study of all kinds of assets and liabilities management method, at thesame time,the insurance company management take the various risks they faced intoconsideration, and now,this area of research is also more and more mature。At present, In China, the research literature about assets and liabilitiesmanagement are less, and most of the literature was qualitative research, quantitativeresearch was rarely, and quantitative research is almost about the interest rate risk.Basically now there are the methods of the cash flow and cash flow test match, theimmune method and dynamic financial analysis.The paper's the main research object is assets and liabilities management based onthe risk management of insurance company, and deeply studies the assets and liabilitymanagement model and the actual analysis of China Pacific insurance group Co.,LTD.This paper researches the assets and liabilities management, and summarizes thedevelopment of the assets and liabilities management, systematically summarizes theresearch of assets and liabilities management ideas and methods and assets andliabilities management model.Briefly, the paper introduces multi-objective programming ideas and application,and with China's current situation of the development of the insurance industry,analyses the insurance company random multi-objective programming of assets andliabilities management research and the recognition and analysis parametersThe random multi-objective programming theory will be applied to insurancecompany assets and liabilities management, and puts forward the theory of random todetermine the parameters, uses expectations to replace the uncertain parameters to target model transformation ideas; establish the relevant insurance company assetsand liabilities management model. For parameters for two conditions to analysis therisk assets and liabilities managementThis paper researches and processes the random goal programming to statisticaltype goal programming, and set up a linear programming model, through ChinaPacific insurance group Co., LTD. and China property insurance Co. in balance sheetspractical data modeling and shows that, the random multi-objective programming issimple practical and feasible and at the same time, analysis and compares lifeinsurance company and general insurance company profit function and solvencyfunction of two goals and the factors affecting the choice model and provides newideas.This paper uses the qualitative and quantitative analysis method, and mainly usethe quantitative analysis, meanwhile, it also adopted random multi-objectiveprogramming model, case studies and expert consultation method, the method ofexpectations method, establishes the insurance company assets and liabilitiesmanagement model, through the actual cases, the model is applied, analysis andinteroperated, and for the future of assets and liabilities management study providethe basis of the specific implementation.