The Application Research Of SAA In Small-medium Sized Life Insurance Companies

This thesis focuses on the study of Strategic Asset Allocation (SAA) for Chinese Small-Medium sized life insurance companies. There are two issues the thesis will to discuss:one is why the small-medium sized life insurance companies need to make the SAA; and the other is how to build the SAA under the perspective of ALM. For the first question, the thesis defined what is a small-medium sized life insurance company. The thesis used the total assets and marketing share as the main standards to determine which company can be called small-medium sized company. Then the thesis reviewed the theory and models about the SAA. And the thesis collected a large of data to analysis the current situation of small-medium sized life insurance company’s asset allocation. So it is necessary to make a SAA for small-medium sized life insurance companies. And the thesis took a domestic small-medium sized life company as an example to analyze the application of SAA. For the second question, the thesis analyzed the SAA from assets and liabilities which are based on ALM. Finally, I proposed a SAA process for reference.The thesis included four chapters as the following:The first chapter mainly discussed the background and literature about asset allocation. The paper focused on the fact that Chinese life insurance companies achieved rapid development but be lack of nice investment return. Especially the small-medium sized insurance companies need focus on improving their investment return. The key to achieve a nice investment return is making a correct and appropriate SAA. Secondly, the paper summarized some researches about asset allocation and found that there was less research about SAA for small-medium sized life insurance companies. Therefore, it is significant to research the SAA of small-medium sized life insurance companies.The second chapter defined the small-medium sized life insurance companies and the SAA. The paper defined the company what total assets are less than4% and the premium income are less than5%but the total assets are larger than10billion is the small-medium sized life insurance companies. In the second section, the paper put forward the seven features about the small-medium sized life insurance companies. In the third section, the paper defined what is the SAA and compared it with the tactical asset allocation. Then it summarized some models about SAA and provided a theoretical basis for the practical application.The third chapter focused on the real situation of the asset allocation in small-medium sized life insurance companies. The first section analyzed the current situation of the asset allocation in small-medium sized life insurance companies. The second section summarized three problems about the real situation of the asset allocation. The third section used simple method to simulate the influence on investment portfolio by setting different SAA. Therefore, the small-medium sized life insurance companies need the SAA. The fourth section took a small-medium sized life insurance company as an example to describe the system of SAA.The fourth chapter was a summary of the above. The paper put forward a flowchart of SAA under the ALM. First, the small-medium sized life insurance companies need choose an appropriate SAA approach and establish an ALM department. Then they can build a SAA decision-making system based on ALM and analyze it from two ways. On the one hand is the asset, on the other hand is the liability. The fourth section introduced the main parameters which are involved in the SAA model. The fifth section summarized the whole SAA process and provided a theoretical support for application of SAA in a small-medium sized life insurance company.The researching methods used in this paper were as following:qualitative and quantitative analysis、comparative analysis and case analysis.The innovation of this paper is the study of SAA in a small-medium sized life insurance company and give the whole SAA process based on Asset and Liability Management.