资产负债培训- ALM Tools Techniques.pptVIP

ALM Tools Techniques - Robert Chen ALM 工具与技巧 — Robert Chen ALM Tools Techniques.资产负债管理工具与技巧 Robert Chen, FIAA, FIA 陈铂 澳大利亚精算师、英国精算师 June / July 2005 （2005年6月／7月） Contents 目录 The ALM Problem.资产负债管理问题. The ALM Problem – the business of a life insurer资产负债管理问题 — 寿险公司的业务 The ALM Problem – desires of stakeholders资产负债管理问题 — 利益相关人士的期望 Policyholders 保户 Certainty of the insurer being able to meet guarantees 保险公司可以实现保证的可能性 Insurer’s ability of providing attractive discretionary benefits 保险公司能够提供具有吸引力的投资回报 Shareholders 股东 High rate of return on investment in the long run (certainly not negative!) 长期保持高资本投资回报率（当然不是负回报率！） A level of fluctuation in profits commensurate with the required rate of return 利润波动幅度与要求回报率相当 The ALM Problem – desires of stakeholders资产负债管理问题 — 利益相关人士的期望 What’s in common 共同之处 Highest possible rate of return 尽可能取得最高回报率 For the lowest risk (little fluctuation) 承担最低风险（保持平稳的水平） They are “loss averse” “避免损失” The ALM Problem – the challenge for a life company资产负债管理问题 — 寿险公司面临的挑战 High level of assets and liabilities 大量的资产与负债 Profit is the difference of 4 large numbers 利润是 4 个大数目的差额 [Total Assets (t) – Total Assets (t-1)] [总资产 (t) – 总资产 (t-1)] – [Total Liabs (t) – Total Liabs (t-1)] – [总负债 (t) – 总负债 (t-1)] More useful to look at profit on a market value basis应用市场一致的方法来测量利润 Total Assets = Market value of total assets总资产=总资产的市场价值 Total Liabilities = Market value of liabilities总负债=总负债的市场价格 The ALM Problem – the challenge for a life company资产负债管理问题 — 寿险公司面临的挑战 Policies sold today affect profits far into the future 今天售出的保单将影响以后许多年的利润 An assurance is made at the sale 销售时寿险公司做出保证 That assurance is contingent 此保证具有随机性 Not just a financial assurance 不仅仅是财务保证，还有 Demographic 死亡率、全残率等 Policyholder behaviour 保户行为 Operational profits (expenses, etc.) 经营利润（费用等） Future regulatory changes 未来法规变动 The ALM Problem – the challenge for a life company资产负债管理问题 — 寿险公司面临的挑战 Profit on a market value basis can be inherently unstable and unpredi