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Theory and Method in the Study of Risk Management for Insurance Investment

Author: QinXu
Tutor: HanWenXiu
School: Tianjin University
Course: Management Science and Engineering
Keywords: Insurance Investment Risk Management Asset and Liability Management Stochastic Programming Hedging Portfolio Asset Allocation
CLC: F842
Type: PhD thesis
Year: 2004
Downloads: 1720
Quote: 5
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Abstract


With China's accession to the WTO, on the one hand towards internationalization of China's insurance industry to provide an opportunity to bring the most serious challenges, on the other hand, gave the Chinese National Insurance. The insurance industry in China since the reform and opening up, the premium income increased to an average annual rate of 35%, after 20 years of rapid development, the scale of insurance funds is increasing, by the end of 2002 the total assets of the insurance companies of more than 330 billion yuan. It is predicted that in the next five years, China's insurance industry will maintain an average annual growth rate of 13%, increasing the status and role of the insurance industry in the financial system as a whole. With the rapid development of the insurance industry, further highlighted the importance of the use of insurance funds. How to broaden the investment channels of insurance funds to accelerate the docking of the insurance funds and the capital markets, it is a real problem in the insurance industry, the securities industry and the whole financial field. This paper focuses on the insurance investment risk management theory and methods for a more in-depth study. Chapter 1: Introduction. The background and significance of the topic of this article, a brief review of the related fields of research progress, and outlines the main research content and innovation. Chapter II: insurance investment in asset-liability management. First analysis of the nature and sources of risk insurance investment funds each asset and liability management, requirements definition, and thus a comparative study of domestic and foreign life insurance companies generally applicable to a number of asset-liability management methods, including the gap theory, cash flow match and immune theory. Chapter 3: the theory of stochastic programming in asset and liability management. According to the the dynamic random characteristics of life insurance investment asset and liability management, and the status quo of China's life insurance investment, the innovative ideas of the theory of stochastic programming is applied to the asset-liability management, and establish a corresponding mathematical model and algorithm, and a case study . Chapter 4: Insurance investment hedge management. First overview of the basic principles and classification of hedging, in turn based on hedging and speculative interdependent relationship of mutual restraint, the use of a loss of control technology and the environment under the Black-Scholes option hedging based innovation proposed mean - the use of options for hedging and speculative model, namely the loss of control under the optimal hedging and speculative strategies. Chapter 5: Insurance portfolio management. First, reviewed research on traditional and modern portfolio theory, in turn based on the relevant theoretical research innovation proposed optimal portfolio model to meet the limit of insurance funds and optimal asset allocation strategy. Chapter 6: Summary and Outlook. A summary of the full text content, and based on the direction of future research.

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CLC: > Economic > Fiscal, monetary > Insurance > China's insurance industry
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