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A Optimization Study of the Asset-Liability Management for Non-Life Insurance Company of Our Country

Author: RenYanFei
Tutor: ShiJianXiang
School: Zhejiang Technology and Business University
Course: Finance
Keywords: Asset and Liability Management Goal Programming Non - linear goal programming
CLC: F842.3
Type: Master's thesis
Year: 2009
Downloads: 175
Quote: 0
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Abstract


China since the 1980 to restore the domestic insurance business, the insurance industry has been developing rapidly, but there is a huge gap compared with developed countries, to ensure that the national insurance industry is healthy, stable and sustainable development, accelerate shorten the gap with foreign competition on must stand on a state-of-the-art theory and technology platform to achieve leapfrog development. The asset and liability management is the core content of modern financial management, foreign many well-known insurance companies have it as a symbol of the core competitiveness of enterprises. If we can master as soon as possible and to break through the key areas, it is bound to have an extremely important role in raising the overall level of China's insurance industry and international competitiveness. Firstly, the status quo of China's property insurance industry asset and liability management, in-depth analysis, clearly pointed out that the Property Insurance asset-liability management is still in its infancy - that is mainly based on the management of interest rate risk mainly. But the thought of modern asset-liability management is a greater emphasis on an enterprise's overall planning and global with the objective of maximizing the value of shareholders' wealth, asset and liability management as a complex system engineering tables inside and outside of financial institutions balance choose the type, quantity, duration, risk and control, from the total amount and structure of the two aspects of the implementation of dynamic optimization management. This article proposed planning approach to multi-objective optimization of asset and liability management study of the domestic property insurance company, trying to state-of-the-art theory and technology to the property insurance company asset and liability management, and that discussion of the domestic property insurance company in the course of business internal and external facing various constraints as well as the pursuit of business objectives and quantify certain mathematical symbols to create optimization models, constraints and business objectives - the pursuit of the objective function under constraints limit optimization . And is selected according to the model established by China PICC company case studies, in order to illustrate the present model how to use and how to analyze the empirical results concluded that the solvency test, and the author of the empirical results, and will reimburse The ability to monitor and property insurance company's asset and liability management combined Finally, suggestions for improvement of the domestic property insurance company asset and liability management, and the subsequent research recommendations based on the results of the case studies presented. On the whole, this article mainly exploring by virtue of the concept of asset and liability management, goal planning and non-linear goal programming model consistency of decision-making of both the assets and liabilities of the Property and Casualty Insurance Company, trying to figure out the surface of the assets in the range of risk tolerance with the optimum combination of the liability side, the insurance company managers to provide a viable decision alternatives.

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