Assets And Liabilities Optimizing Management Of Life Insurance Company Based On VaR And Multi-objective Programming Model

Life insurance industry is a special one running risks, undertaking the important functions of stabling social and economic, effectively maintaining capital accumulation or supply and promoting economic growth fast. Life insurance Company’ risks are diverse and complex. The change of interest rate, investment environment and customers’ risk preference will have a great effect on life insurance Company, even leading to bankruptcy. So the risk management of the company’s operations appears particularly important for Life insurance Company. VaR method is widely used in the international risk measures, containing rich risk management ideas. If it is used in life insurance industry, it will enhance the level of risk management of life insurance companies and shorten the gap with foreign countries.Assets and liabilities management method realizes the global business goal of financial institutions, with standing in a double angle of financing source and funds utilization, and considering the configuration of the overall funding. This paper reflects the risks by volatility of portfolio returns as a standard. According to the given combination yields VaR value, target of minimizing the risk in combination, constraints on the risk for VaR return and constraints with laws, regulations and management, the paper established asset and liability management optimization model in life insurance companies. The features and innovation of this model include three aspects. Firstly, the way of reflecting VaR value is the form of yield maximum loss but not income amount, which makes it more convenient to combination decision. Secondly, the correlation between capital risks makes the model more closed to the reality. Last, the combination risk of assets and liabilities is limited to the range of life insurance company’ endurance by comprehensive consideration of constraints which make the risk minimum under the given yield, the profit higher and the company shareholders’ equity the larger. The article makes the first joint-stock insurance company-Ping An Insurance (Group) Company of China as an example, computing the optimal solution of assets and liabilities management about life insurance company using the software- matlab. The results show that the model could improve management status.