寿险公司负债价值计量研究

20092INSURANCESTUDIESNo.22009崔燕敏(,100070)[]有效的资产负债管理以寿险公司资产和负债价值的正确计量为基础寿险负债的长期性和多种嵌入期权的特性使寿险公司资产负债管理更具复杂性寿险负债价值计量的精算方法注重于它的死亡率风险测定的技术秘诀和期限的长期性,但该方法使期权的效应无从体现,也使在利率和被保险人行为的静态假设不成立的前提下,负债价值被低估的情况发生因此,必须辅之于财务方法来测量期权在寿险合约中的价值本文对寿险合约中期权价值的测量及其对ALM的作用也做了探讨[]资产负债管理;负债价值;嵌入期权[]F840.62[]A[]1004-3306(2009)02-0040-07,18020,,,,,20074,,,,5%,,,,!∀(EmbeddedOptions),!∀,,,,,,,,,,,,,2070,,,1981,9.3%,,,20%~45%,10%,,[],#40#,/1,,,,,,,,,:=-,,,,,,,,,,:,;,,,,,?,,,,,,,,(嵌入期权的组合),,,,,,,,,,,,,,#41#,,,,,,,,,,,,,,,,,,,1()###30,6000,20,120000,3.75%752:2(万能型)A*t3.75%3.75%3.75%13127621200000.9639115662.65115662.6523271811200000.9290111482.07222964.15333123891200000.8954107452.60322357.80∃∃∃∃∃∃∃∃∃∃∃∃∃∃74104119130011913000.065678145.025782731.3775105123668812366880.063278190.205864265.2137.03,30,#42#,,10,(假设股权最终以高于票面5倍的价格出售),37.073:3(年)104%10,,4%100000*t140000.96393855.423855.42240000.92903716.077432.14340000.89543581.7510745.26∃∃4856000.1708956.6645919.824956000.1647922.0845182.16509552000.1587151596.457579822.73263200.409757936.49(年)37.07417(),10,,,,(见表4)4(年)(年)37.0337.0730.2835.31,,5,,(人寿),,4,,,,(1)(就这张保单而言);(2)10,,,55,:E=-Dgap%A%r1+r,3%,14%,,,#43#,(见表5):PP=-D1+rr5rE0.10%-1268.430.20%-2536.870.30%-3805.300.40%-5073.730.50%-6342.171.00%-12684.342.00%-25368.673.00%-38053.0161%3954259942-204001%80342599422040020400,,;20400,,,(见表6),:V=V0+P,V0;P,,,P,,VP,V,,,:P,ij=max(K-V,ij,e-rtqPi+1,j+(1-q)P,ij+1),q=ert-du-du=etd=e-tr2.5%;,8%;,t1,,75VBA(见表7)#44#7*t13127621200000.9639115734.8974.95115737.6023271811200000.9290111628.10157.18223278.51333123891200000.8954107723.45302.48323265.24∃∃10400600580.692042508.881369.20429305.61∃∃751055445275445270.063235228.0112653.863531136.34(含期权价值)35.23143P,35.23,8(年)(年)37.0337.0735.2335.31,,,,?7080,,,10%,/,,,(SocietyofActuaries)2008,(InternationalAccountingStandardBoardIASB),IASBGAAP(GeneralAcceptedAccountingPractice),,IASBIASB,,IASB,GAAP,IASB,,,,,,,,?#45#[][1]RosaCocozza,EmiliaDiLorenzo!ADynamicSolvencyApproachforLifeInsurance∀Elibrary2004.[2]RossanoGiandomenico!AssetLiabilityManagementinInsuranceCompany∀SocialScienceResearchNetwork2007.[3]王一佳,马泓,陈秉正.寿险公司风险管理[M].北京:中国金融出版社,2003.9.[4]肯尼思.布莱克[美],哈德罗.斯基博[美].人寿与健康保险[M].北京:经济科学出版社,2003.8.[5]袁卫,饶富瑞(FredRowley),彭非.中国保险监管与精算实务[M].北京:中国人民大学出版社,2003.[6]WarrenHogan,KatherineJ.Avram,ChristineBrown,DeborahRalston,MichaelSkully,GeorgeHempe,lDonaldSimonsonManagementofFinancialInstitutionsAustralianJohnWiley&Sons,Inc.[7]InternationalActuarialAssociation(IAA)!GuidancePaperontheuseofInternalModelsforrisk&capitalmanagementpurposesbyinsurance∀2007.10.[8]ERNST&YOUNG!MarketValueMarginsforInsuranceLiabilitiesinFinancialReportingandSolvencyApplications∀2007.10.[9]SocietyofActuaries!ResearchProjectonFinancialReportingforInsuranceContractsunderPossibleFutureInternationalAccountingStandards∀2008.1.[10]IAA!PracticeNoteonEnterpriseRiskManagementforCapitalandSolvencyPurposes∀Draft2007.Abstract:TheeffectivenessofALMisbasedontheappropriatemeasurementofassetsandliabilitiesforlifeinsurers.Thecharacteristicsoflongdurationandexistenceofvariousembeddedoptionsmadeliabilitiesmorecomplicatedtomeasurethanotherfinancialinstitutions.Theactuarialmeasurementapproachoflifeinsuranceliabilitiesfocusesonitsprojectingofthemortalityriskandlongtermduration.However,thisapproachdoesnottakeintoaccounttheeffectsofembeddedoptions,andrunstheriskofundervaluingtheliabilitiesinthesituationofinterestratechangeandoverturningoftheassumptionofpolicyholder&sstaticbehaviors.Therefore,accountingrulesshouldbeusedtovaluethoseembeddedoptionsinlifeinsurancecontracts.ThisarticlealsostudiedonthevaluationofembeddedoptionsinlifeinsurancecontractsandhowitaffectedALM.Keywords:assetliabilitymanagemen;tvalueofliabilities;embeddedoptions[:]#46#