A Research On Asset-Liability Management Of Non-life Insurance Companies In China

China’s insurance industry started very late, and the development process is full of the twists and turns. Domestic insurance didn’t overall recover till the Third Plenary Session of the Thirteenth Central Committee of the Chinese Communist, and then China’s insurance industry went into era of the rapid development. But along with the economic globalization and the further opening up of China’s insurance market, China’s insurance market is subject to the impact of the international financial became More and more frequently, confronts with more and more fierce market competition and diversified risks. Data shows that under double pressure of very low investment return and premium expansion; national insurance companies are at a risk of solvency crisis.A series of policies show that China’s insurance industry will be gradually introduce the entry-exit mechanism. The introduction of the withdrawal mechanism means the survival of the fittest, for non-life insurance companies which is accustomed to the use of vicious competition for market, If they do not want to be obsoleted in the fierce market competition, they must abandon the business strategy of the scale of business rather than on the match of assets and liabilities.Throughout the literature of asset and liability management, mostly from the perspective of commercial banks or insurance companies to control the interest rate risk and lack of research on asset-liability management for non-life insurance companies. So I put forward to the research on asset and liability management of non-life insurance companies in china.This paper mainly composes of five chapters, and specific contents are as follows:The first chapter mainly introduces the background and purpose of this paper, conducting a review of domestic and foreign literature about the theory of asset and liability management and ruin theory, and describing the research ideas and methods of this paper, as well as the innovations and shortcomings.The second chapter briefly describes the asset and liability management theory, analyzing the characteristics of non-life insurance company’s assets and liabilities and the current situation of asset and liability management of non-life insurance companies in china, and putting forward the goal of asset and liability management of non-life insurance companies in china.The third chapter describes methods of asset and liability management, and compares with the techniques of them in the contemporary.The fourth chapter is the focus of this article chapter, mainly introduces the ruin risk warning model. Firstly, it briefly reviews the theoretical basis of model. Secondly, use of a Monte Carlo simulation method aims to draw the curve of the ruin probability under the compound negative binomial ruin model and take into account that the influence of initial capital and risk loading coefficient. Finally, it constructs an insurance parameter model which is based on ruin probability and VaR method.The fifth chapter takes some extensions of the ruin risk warning model. Firstly, it considers the curve of ruin probability in the case of existence of deductibles and claim limits. Then, it takes the premium income process to the compound negative binomial random process for compound double negative binomial ruin model.The sixth chapter makes the conclusions of this paper and makes a prospect of the in-depth part of this paper.The innovation of this paper is:First, it promotes the ruin warning model of the insurance cost and claims process to process of the individual compound negative binomial random process, and uses the monte carlo method which is used to simulate the change of ruin probability computing value with time curve, and constructs the ruin risk warning model; Second, combined with consideration of the VaR value of the ruin probability, using the monte carlo simulation ruin probability, and getting certain under the confidence level for the VaR value ruin probability, it put forward the VaR value of the ruin probability constraints by insurance parameter model.The disadvantages of this article are:first of all, the data model involved in the non-life insurance company business is secret, so it is hard to collect. This paper in the model and had to stage the key parameters for distribution fitting, but to discuss convenient and suppose the subject to some form of distribution, and through the monte carlo simulation of a large number of random data generated to replace, the effect of operation of the model have a certain influence on the consequence; Second, although by building the ruin risk early warning model how to reduce the risk of ruin method, but reduce ruin risk while also inhibit the market demand, from the perspective of the maximum profit should be put in an optimal solution, owing to the time limit and research ability of the shortages, this paper doesn’t continue to study further.