保险公司资产负债管理问题研究
|
摘要
随着我国国民经济的持续、快速发展,保险业也获得了空前的发展机遇,行业规模不断扩大,经济效益逐年提高。面对日益复杂的市场环境和激烈的竞争,保险公司经营管理中存在的问题也逐渐开始显现,如保险公司偿付能力不足、利差损严重、保险资金使用效率低下等,其根本就是保险公司的资产负债管理问题。资产负债管理问题是影响到保险公司生存和发展的关键问题,一般而言,各保险公司会使用适宜的资产负债管理方法对其资产和负债做出适当安排,以达到降低债务偿付风险,增加盈利的目的。而我国保险公司缺乏成熟、完整的资产负债管理体系和科学有效的管理方法,发展中积累下的问题一直没有得到很好的解决。如何尽快提高保险资金的投资收益、保持较好的动态偿付能力、降低保险公司的破产水平是每个保险公司的必然选择。本文针对以上问题建立了嵌入期权的利率风险完全免疫模型,规避了利率风险;并将VaR和破产概率相结合的方法引入保险公司的资产负债管理中,最后研究了保险公司的最优资产配置问题,具体如下:
1.将嵌入保单的退保期权看作利率衍生品,分别使用无套利分析和二叉树方法,对退保期权进行了定价;创造性地提出并使用“贴现率折扣法”,剔除了退保期权对保险负债定价的影响,并在此基础上建立了随机利率下的利率风险完全免疫模型,对保险公司资产负债组合进行了跨期调整,实现了较好的利率免疫效果。
2.使用破产概率和VaR方法相结合的方法,对不同索赔额下的破产概率进行了对比分析,发现不同初始准备金对破产概率的影响只在开始一段时间有显著差异。并通过建立某一置信度下的破产概率VaR受限模型,得到了相同破产概率而参数设置不同的保险产品。最后考察了免赔额和理赔限额对保险公司破产概率的影响。
3.在考虑被保险人死亡因素的情况下,建立了随机利率框架下的保险公司资产配置优化模型,并在保险人不同效用函数下对模型进行了求解,发现保险人在不同效用函数下的资产配置策略完全不同。
With the steady and rapid development of Chinese Economy, the Chinese insurance industry has gotten an unprecedented chance to develop, which has resulted in the expansion of industry scale and yearly enhanced profits. Faced with the complicated market environment and heated competition, the managerial problems in the operation of insurance companies has appeared gradually, such as deficiency of solvency, loss of interest spread and low efficiency of insurance investment. These problems can be generalized as the problem of assent and liability management (ALM), which is key element to influence the existence and development of an insurance company. Generally, each insurance company can appropriately arrange the assets and liabilities to decrease the risk of solvency and increase the profits. However, most of Chinese insurance companies lack advanced and full system of ALM and effective methods for ALM, consequently the problems above have not been resolved. So how to enhance the profits from investment, keep good solvency ability and decrease the level of ruin probability are the necessary choices for each insurance company. To solve the problems involved, the paper makes an immunity model against interest rate risk with embedded option, and introduces the combination method of VaR and ruin probability into the ALM, and finally studies the problem of optimum assets allocation for insurance companies, the details are as follows:
Firstly, with the embedded surrender option viewed as the interest rate derivative and method of no-arbitrage analysis and binary tree, the surrender option is priced. Moreover the paper suggests the method of discount deduction to eliminate the impact of surrender option on the liabilities pricing, based on which the interest rate risk immunity model is set up to adjust the combination of assets and liabilities intertemperally against the interest rate risk.
Secondly, for the problem of ALM in non-life insurance companies, the ruin probabilities are computed under different claim distributions. With combination method of VaR and ruin probability, the paper finds that the impact of initial reserve fund on ruin probability under different claim distributions are obviously different in the beginning period by the comparison analysis. Moreover the ruin probability model with the VaR limitation is created to get the insurance products with different technique parameters, which supply the theoretical basis and technique support for the insurance companies to control the risk of ruin and diversify products effectively. Finally, the impact of franchise and the claim limitation on ruin probability are analyzed.
Thirdly, with the consideration of mortality of insured people, the stochastic optimization model for asset allocation is set up within the frame of stochastic interest rate. By solving of the mode under different utility functions, the paper argues that the strategies of asset allocation under different utility functions are completely different from each other.
1.将嵌入保单的退保期权看作利率衍生品,分别使用无套利分析和二叉树方法,对退保期权进行了定价;创造性地提出并使用“贴现率折扣法”,剔除了退保期权对保险负债定价的影响,并在此基础上建立了随机利率下的利率风险完全免疫模型,对保险公司资产负债组合进行了跨期调整,实现了较好的利率免疫效果。
2.使用破产概率和VaR方法相结合的方法,对不同索赔额下的破产概率进行了对比分析,发现不同初始准备金对破产概率的影响只在开始一段时间有显著差异。并通过建立某一置信度下的破产概率VaR受限模型,得到了相同破产概率而参数设置不同的保险产品。最后考察了免赔额和理赔限额对保险公司破产概率的影响。
3.在考虑被保险人死亡因素的情况下,建立了随机利率框架下的保险公司资产配置优化模型,并在保险人不同效用函数下对模型进行了求解,发现保险人在不同效用函数下的资产配置策略完全不同。
With the steady and rapid development of Chinese Economy, the Chinese insurance industry has gotten an unprecedented chance to develop, which has resulted in the expansion of industry scale and yearly enhanced profits. Faced with the complicated market environment and heated competition, the managerial problems in the operation of insurance companies has appeared gradually, such as deficiency of solvency, loss of interest spread and low efficiency of insurance investment. These problems can be generalized as the problem of assent and liability management (ALM), which is key element to influence the existence and development of an insurance company. Generally, each insurance company can appropriately arrange the assets and liabilities to decrease the risk of solvency and increase the profits. However, most of Chinese insurance companies lack advanced and full system of ALM and effective methods for ALM, consequently the problems above have not been resolved. So how to enhance the profits from investment, keep good solvency ability and decrease the level of ruin probability are the necessary choices for each insurance company. To solve the problems involved, the paper makes an immunity model against interest rate risk with embedded option, and introduces the combination method of VaR and ruin probability into the ALM, and finally studies the problem of optimum assets allocation for insurance companies, the details are as follows:
Firstly, with the embedded surrender option viewed as the interest rate derivative and method of no-arbitrage analysis and binary tree, the surrender option is priced. Moreover the paper suggests the method of discount deduction to eliminate the impact of surrender option on the liabilities pricing, based on which the interest rate risk immunity model is set up to adjust the combination of assets and liabilities intertemperally against the interest rate risk.
Secondly, for the problem of ALM in non-life insurance companies, the ruin probabilities are computed under different claim distributions. With combination method of VaR and ruin probability, the paper finds that the impact of initial reserve fund on ruin probability under different claim distributions are obviously different in the beginning period by the comparison analysis. Moreover the ruin probability model with the VaR limitation is created to get the insurance products with different technique parameters, which supply the theoretical basis and technique support for the insurance companies to control the risk of ruin and diversify products effectively. Finally, the impact of franchise and the claim limitation on ruin probability are analyzed.
Thirdly, with the consideration of mortality of insured people, the stochastic optimization model for asset allocation is set up within the frame of stochastic interest rate. By solving of the mode under different utility functions, the paper argues that the strategies of asset allocation under different utility functions are completely different from each other.
引文
[1] 2005 年中国保费收入近 5000 亿元,http://xinhuanet.com/fortune,2006, 1
[2] 戴稳胜,中国保险业资产负债建模分析[M],北京:经济科学出版社,2004,6: 13-16
[3] Harry Markowitz, Portfolio selection[J], Journal of Finance, 1952, 7(1): 77-91
[4] Black, Fischer Scholes, Myron, The Pricing of Options and Corporate Liabilities[J], Journal of Political Economy, 1973, 81(3): 637-655
[5] Kusy, M. I, Ziemba, W. T. A bank asset and liability management model[J], Operations Research, 1986, 34(3): 356-377
[6] Van Eeghen J, Duration matching: some practical aspects[M], Liber Amicorum G. W. 1994: 25-28
[7] Palmgren B, Asset liability management and strategies of profit sharing[J], Transactions ICA Brussels, 1995, 3:567-576
[8] Harris G., Statistical data analysis and stochastic asset model validation[J], Transactions ICA Brussels, 1995, 3: 311-332
[9] Tanaka S. Asset-liability modeling of corporate pension plans within the surplus framework based on 2-factor durations[M], Transactions ICA Brussels, 1995, 3:667-688
[10] Black, Fischer Scholes, Myron, The valuation of option contracts and a test of market efficiency[J], Journal of Finance, 1972, 27(2): 399-418
[11] Cemal Berk Oguzsoy, Sibel Guven, Bank asset and libility management under uncertainty[J], European Journal of Operational research, 1997,102: 575-600
[12] Schmidt K, Chain ladder prediction and asset liability management[M], Technische university, 1997: 62-68
[13] Rowland V. T, Conde F. S.Dynamic financial analysis issues in investment portfolio management[J], Casualty Actuarial Society Forum, 1996: 205-240
[14] John M. Mulvey, Daniel P. Rosenbaum, Strategic financial risk management and operations research[J], European Journal of Operational Research, 1997, 97:1-16
[15] Ang A., Sherris M, Interest rate risk management: Developments in interest rate term structure modeling for risk management and valuation of interest-rate-dependent cash flows[J], North American Actuarial Journal, 1997,1:1-26
[16] Yigal Gerchak, Shaun Wang, Liquid asset allocation using “newsvendor” models with convex shortage costs[J], Insurance: Mathematics and Economics, 1997, 20: 17-21
[17] David Blake, Pension schemes as options on pension fund assets: implication for pension fund management[J], Insurance: Mathematics and Economics, 1998, 23: 263-286
[18] W. T. Ziemba, J. M. Mulvey, Worldwide asset and liability modeling[M], Cambridge University Press, Cambridge, 1998: 102-106
[19] Anders Grosen, Fair valuation of life insurance liabilities: the impact of interest rate guarantees, surrender options, and bonus policies[J], Insurance: Mathematics and Economics, 2000, 26: 37-57
[20] G. Zanghirati, F. Cocco, A Cray T3E implementation of a parallel stochastic dynamic assets and liabilities management model[J], Parallel Computing, 2000, 26: 539-567
[21] Jae Ha Lee, Duane R. Stock, Embedded options and interest rate risk for insurance companies, banks and other financial institutions[J], Quarterly Review of Economics and Finance, 2000, 40: 169-187
[22] Erik Taflin, Equity allocation and portfolio selection in insurance[J], Insurance: Mathematics and Economics, 2000, 27: 65-81
[23] Kjetil Hoyland, Stein W. Wallace, Analyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management model[J], European Journal of Operational Research, 2001, 134: 293-308
[24] Ricardo Josa-Fombellida, Minimization of risks in pension funding by means of contributions and portfolio selection[J], Insurance: Mathematics and Economics, 2001, 29: 35-45
[25] Gary P. Moynihan, Prasad Purushothaman, DSSALM: A decision support system for asset and liability management[J], Decision support system, 2002, 33:23-38
[26] Stein-Erik Fleten, Kjetil Hoyland, The performance of stochastic dynamic and fixed mix portfolio models[J], European Journal of Operational Research, 2002, 140:37-49
[27] Andrew Saporoschenko, The sensitivity of Japanese bank stock returns to economic factors: An examination of asset and liability differences and main bank status[J], Global Finance Journal, 2002, 13: 253-270
[28] Pierre Devolder, Manuela Bosch Princep, Stochastic optimal control of annuity contracts[J], Insurance: Mathematics and Economics, 2003, 33: 227-238
[29] Karl Frauendorfer, Michael Schurle, Management of non-maturing deposits by multistage stochastic programming[J], European Journal of Operational research, 2003, 151: 602-616
[30] Ton G. de Kok, Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure[J], Insurance: Mathematics and Economics, 2003, 33: 645-658
[31] David F, Schrager, Pricing rate of return guarantees in regular premium unit linked insurance[J], Insurance: Mathematics and Economics, 2004, 35: 369-398
[32] John M. Mulvey, Bala Shetty, Financial planning via multi-stage stochastic optimization[J], Computers & Operations Research, 2004, 31: 1-20
[33] Markus Rudolf, William T. Ziemba, Intertemperal surplus management[J], Journal of Economic Dynamics & Control, 2004, 28:975-990
[34] Markus Leippold, Fabio Trojani, A geometric approach to multiperiod mean variance optimization of assets and liabilities[J], Journal of Economic Dynamics and control, 2004, 28: 1079-1113
[35] C. Frangos, S. A. Zenios, Computation of feasible portfolio control strategies for an insurance company using a discrete time asset and liability model[J], Mathematical and Computer Modelling, 2004, 40: 423-446
[36] Arnold F. Shapiro, Fuzzy logic in insurance[J], Insurance: Mathematics and Economics, 2004, 35: 399-424
[37] Petter E. de Lange, Modeling financial reinsurance in the casualty insurance business via stochastic programming[J], Journal of Economic Dynamics and Control, 2004, 28: 991-1012
[38] Roy Kouwenberg, Scenario generation and stochastic programming models for asset liability management[J], European Journal of Operational research, 2004, 134: 279-292
[39] Paolo Battocchio, Francesco Menoncin, Optimal pension management in a stochastic framework[J], Insurance: Mathematics and Economics, 2004, 34:79-95
[40] Jerome Barbarin, Pierre Devolder, Risk measure and fair valuation of an investment guarantee in life insurance[J], Insurance: Mathematics and Economics, 2005, 37: 297-323
[41] Leslaw, Gajek, Axiom of solvency and portfolio immunization under random interest rates[J], Insurance: Mathematics and Economics, 2005, 36: 317-328
[42] Nicole E. Karoui, Monique Jeanblanc, Optimal portfolio management with American capital guarantee[J], Journal of Economic Dynamics and Control, 2005, 29: 449-468
[43] K. U. Leuven, A path integral approach to asset-liability management[J], Physica A, 2006, 363: 404-416
[44] Norbert J, Gautam Mitra, Integrating market and credit risk: A simulation and optimization perspective[J], Journal of banking & finance, 2006, 30:717-742
[45] Andrea Consiglio, David Saunders, Asset and liability management for insurance products with minimum guarantees: The UK case[J], Journal of Banking and Finance, 2006, 30: 645-667
[46] Hong-Chih Huang, Andrew J. G. Cairns, On the control of defined-benefit pension plans[J], Insurance: Mathematics and Economics, 2006, 38: 113-131
[47] Chambers.D, Charnes. A, Inter-temporal analysis and optimization of bank portfolios[J], Management Science, 1961, 7(4):393-410
[48] Cohen, Kalman J, Liner programming and optimal bank asset management decisions[J], Journal of Finance, 1967, 22(2): 147-165
[49] Hammer Richard, Financial planning to avoid tax problems[J], International Journal of Accounting, 1972, 7(2): 23-34
[50] Beazer. William, Monetary Economics[J], Journal of Finance, 1976, 31(1): 172-174
[51] Brodt. Abraham, A dynamic balance sheet management model for a Canadian chartered bank[J], Journal of Banking and Finance, 1978, 2(3), 221-241
[52] Spellman. Lewis J, Deposit ceilings and efficiency of financial intermediation[J], Journal of Finance, 1980, 35(1): 129-137
[53] Taylor. Sam G, Bradley Charles E, Optimal ordering strategies for announced price increases[J], Operations Research, 1985, 33(2): 312-325
[54] Brush Brian.C, Crane Steven E, The effect of market power on the fringe benefit of labor compensation[J], Quarterly Journal of Business and Economics, 1985, 24(4): 70-85
[55] Haberman S, Sung J. H, Dynamic approaches to pensioin funding[J], Insurance: Mathematics and Economics, 1994, 15: 151-162
[56] Blake, D, Pension schemes as options on pension fund assets: implications for pension fund management[J], Insurance: Mathematics and Economics, 1998,23: 263-286
[57] Wilkie, A. D, The matching of assets to liabilities[J], Journal of the Institute of Actuaries, 1985, 111, 229-277
[58] Cairns, A.J. Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time[J]. ASTIN Bulletin, 2000, 30: 19–55
[59] Cairns, A.J., Parker, G.,. Stochastic pension fund modeling[J], Insurance: Mathematics and Economics, 1997, 21: 43–79
[60] Chang, S.C.,Realistic pension funding: a stochastic approach[J], Journal of Actuarial Pratice, 2000, 8: 5–42
[61] Andersson, F., Mauser, H., Rosen, D., Uryasev, S., Credit risk optimization with conditional Value at-Risk criterion[J], Mathematical Programming, 2001, 89: 273–291
[62] Kealhofer, S., Portfolio management of default risk: Net Exposure[J], The Electronic Journal of Financial Risk, 1998, 1 (2).6-12
[63] Rockafellar, R.T., Uryasev, S., Optimization of conditional Value-at-Risk[J], The Journal of Risk, 2000, 2(3): 21–41
[64] Jobst, N.J., Zenios, S.A., The tail that wags the dog: Integrating credit risk in asset portfolios[J], The Journal of Risk Finance, 2001, 3 (1): 31–43
[65] Hull, J., White, A., Pricing interest rate derivative securities[J]. Reviews of . Financial Studies, 1990, 3: 573–592
[66] Kemna, A., Vorst, A, A pricing method for options based on average asset values[J], Journal of Banking and Finance,1990, 14: 113–129
[67] Nielsen, J.A., Sandmann, K., The pricing of Asian options under stochastic interest rates[J]. Applied Mathematical Finance, 1996, 3: 209–236
[68] Nielsen, J.A., Sandmann, K., Pricing bounds on Asian options[J], Journal of Financial & Quantitative Analysis 2003, 38(2): 449–473
[69] Geman, H., Changes of Numeraire, changes of probability measure and option pricing[J], Journal of Applied. Probability. 1995, 32: 443–458
[70] Baccinello, A.R., Ortu, F., Pricing equity-linked life insurance with endogenous minimum guarantees[J], Insurance: Mathematics and Economics, 1993, 12(3): 245–258
[71] Boyle, P.P., Hardy, M.R, Reserving for maturity guarantees: two approaches[J], Insurance: Mathematics and Economics, 1997, 21: 113–127
[72] Karatzas, I., On the pricing of the American option[J], Applied Mathematics andOptimization, 1988, 17: 37–60
[73] Broadie, M., Pricing American-style securities using simulation[J], Journal of Economic Dynamics and Control, 1997, 21: 1323–1352.
[74] Tilley, J., Valuing American options in a path simulation model[J], Transactions of the Society of Actuaries, 1993, 45: 83–104
[75] Hutchison, D., Pennacchi, G., Measuring rents and interest rate risk in imperfect financial markets: the case of retail deposits[J], Journal of Financial and Quantitative Analysis, 1996, 31: 399–417
[76] Longstaff, F., Schwartz, E. A simple approach to valuing risky fixed and floating rate debt[J], Journal of Finance, 1995, 50: 789–820.
[77] Flannery, M., James, C. The effect of interest rate changes on the common stock returns of financial institutions[J], Journal of Finance, 1984, 39: 1141–1153
[78] Santomero, A., Babbel, D, Financial risk management by insurers: an analysis of the process[J], Journal of Risk and Insurance, 1997, 64: 231–270
[79] Schwartz, E., Torous, W. Prepayment and the valuation of mortgage pass through securities[J]. Journal of Business, 1992, 15: 221–240
[80] Stock, D.,Simonson, D. Tax-adjusted duration for amortizing debt instruments[J]. Journal of Financial and Quantitative Analysis, 1988, 23: 313–328
[81] John M. Mulvey, Hafize G. Erkan, Applying CVaR for decentralized risk management of financial companies[J], Journal of Banking and Finance, 2006, 30: 627-644
[82] Thomas F. Coleman, Yuying Li, Hedging guarantees in variable annuities under both equity and interest rate risk[J], Insurance: Mathematics and Economics, 2006, 38: 215-228
[83] Christian Burgert, Consistent risk measures for portfolio vectors[J], Insurance: Mathematics and Economics, 2006, 38: 289-297
[84] Michael Kunkler, Modelling negatives in stochastic reserving models[J], Insurance: Mathematics and Economics, 2006, 38: 540-555
[85] Kevin Dowd, Andrew J. G. Cairns, Mortality-dependent financial risk measures[J], Insurance: Mathematics and Economics, 2006, 38: 427-440
[86] Laura Ballotta, Steven Haberman, The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case[J], Insurance: Mathematics and Economics, 2006, 38: 195-214
[87] Ka Chun Cheung, Oprimal portfolio problem with unknown dependency structure[J], Insurance: Mathematics and Economics, 2006, 38: 167-175
[88] Ning Gong, Tao Li, Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption[J], Applied Mathematics and Computation, 2006, 174: 710-731
[89] Alexey Y. Golubin, Optimal decision rule in forming an insurance portfolio[J], Operations Research Letters, 2006, 34: 316-322
[90] Andrew J. G. Cairns, David Blake, Kevin Dowd, Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans[J], Journal of Economic Dynamics and Control, 2006, 30: 843-877
[91] Helene Cossette, David Landriault, Ruin probabilities in the discrete time renewal risk model[J], Insurance: Mathematics and Economics, 2006, 38: 309-323
[92] 王建欣,商业银行的资产负债管理[J],金融理论与实践,1994,10:49-50
[93] 宋海,美国商业银行的资产负债管理[J],国际金融研究,1996,3:27-31
[94] 施红秀,薛文才,关于资产负债几个具体问题的研究[J],金融理论与实践,1995,9:5-9
[95] 彭建刚,西方商业银行资产负债管理探析[J],金融理论与实践,1999,5:46-48
[96] 陈友平,论保险资金管理体制[J],保险研究,1999,2:9-11
[97] 陈友平,论保险公司的投资策略[J],保险研究,2000,7:12-13
[98] 王韧,论化解寿险企业利差损风险的有效途径[J],湖南商学院学报,2000,11:55-57
[99] 张绪风,美监管偿付能力的几种财务报告分析法[J],中国保险,2000,1:45-46
[100] 程迎杰,秦成林,商业银行资产负债管理的随机规划模型[J],上海大学学报(自然科学版),2000,6(6):485-490
[101] 李秀芳,我国寿险业的利率风险分析及其防范[J],南开经济研究,2000,1:57-61
[102] 晏正君,利率市场化与银行资产负债管理[J],哈尔滨金融高等专科学校学报,2001,3:13-16
[103] 张绪风,论寿险公司的偿付能力管理[J],保险研究,2001,9:18-20
[104] 李秀芳,关凌,论资产负债管理技术指导下的寿险产品战略[J],南开经济研究,2001,4:59-63
[105] 张琦,蒋馥,期限结构模型在资产负债管理问题中应用的探讨[J],预测,2001,20(2):45-48
[106] 庄新田,黄小原,银行资产负债管理的模型及其优化[J],系统工程理论方法应用,2001,10(2):168-172
[107] 迟国泰, 徐琤,银行资产负债管理中资产分配模型[J],大连理工大学学报,2001,41(4):62-66
[108] 陈迪红,潘竟成,保险公司动态财务分析初探[J],财经理论与实践,2002,23(116):72-77
[109] 蒋洪浪,保险投资的资金配置策略[J],保险研究,2002,8:34-35
[110] 李秀芳,从中国寿险业的资产负债管理谈监管环境的改善[J],南开经济研究,2002,4:35-37
[111] 秦振球,俞自由,从资产负债管理看我国寿险产品开发和资金运用[J],上海保险,2002,12:26-28
[112] 迟国泰, 奚扬,基于 VaR 约束的银行资产负债管理优化模型[J], 大连理工大学学报,2002,42(6):750-758
[113] 李苇莎,利率市场化趋势下商业银行资产负债管理的应对之策[J], 上海金融,2002,10:42-44
[114] 姚澜,浅析持续期和风险免疫技术在银行利率风险管理中的应用[J],辽宁大学学报,2002,30(3):70-72
[115] 张学江,人寿保险公司的资产负债管理[J],金融研究,2002,9:72-79
[117] 成会,商业银行资产负债的动态匹配管理[J],财经理论与实践,2002,23(116):28-29
[118] 李秀芳,李静,中国寿险业资产负债管理模式研究及其数学模型[J],金融研究,2002,7:59-68
[119] 洪涛,我国保险公司偿付能力监管评价研究及实证分析[D],首都经济贸易大学硕士学位论文,2002
[120] 关国亮,保险资金运用与资产负债管理[J],中国保险,2003,3:12-14
[121] 王海艳,张庆洪,持期匹配及隐含期权条件下的持期计算[J],同济大学学报,2003,31(12):1486-1489
[122] 刘经纶,低利率环境下人寿保险公司投资面临的挑战与对策[J],保险研究 2003,5:8-10
[123] 陈小宪,加速建立现代商业银行的资产负债管理体系[J],金融研究,2003, 2:30-37
[124] 徐志宏,金融创新与资产负债管理[J],中国城市金融,2003,6:4-6
[125] 陈芳,利率风险管理:商业银行资产负债管理的着力点[J],华南金融研究, 2003,4:39-40
[126] 李贺,安立伟,利率市场化与商业银行的风险管理[J],北方经贸,2003,12:105-106
[127] 关国亮,论保险资金运用与资产负债管理[J],保险研究,2003,5:5-7
[128] 刘新立,董峥,论我国保险公司的整合风险管理[J],保险研究,2003,2:31-34
[129] 张春妮,缺口管理在我国商业银行利率风险管理中的运用[J],市场周刊,2003,11:23-25
[130] 尹群,银行资产负债管理系统的设计与实现[J],华南金融电脑,2003,3:46-47
[131] 秦振球,周淳,俞自由,中国保险业资产负债与证券市场的对接研究[J],江西财经大学学报,2003,5:23-26
[132] 魏雪梅,我国寿险公司利率风险研究[D],天津大学硕士学位论文,2003
[133] 秦旭,保险投资的风险管理理论与方法研究[D],天津大学管理学院博士论文,2003
[135] 齐洪昌,中国养老保险基金的运营与监管[D],首都经济贸易大学硕士学位论文,2003
[136] 陈迪红,保险公司资产负债管理技术及其发展趋势[J],金融与保险,2004,25(129):40-42
[137] 刘喜华,保险资金运用与寿险公司的资产负债管理[J], 保险研究,2004,4:21-26
[138] 赵家敏,苏莉,从资产负债管理看日本寿险业的利差损问题及对我国的启示[J],现代日本经济,2004,2:28-32
[139] 王超,唐涛,对目前我国利率定价问题的几点思考[J],特区经济,2004,12,213-214
[140] 刘喜华,关注寿险公司资产负债管理[J],中国保险,2004,4:46-49
[141] 刘建强,基于现金流匹配的寿险公司资产负债管理方法[J],财会通讯,2004,8:26-28
[142] 张长征, 唐鹏,利率风险管理创新的轨迹及对我国的启示[J],特区经济,2004,12:222-223
[143] 汪柱旺,利率市场化进程中商业银行的风险分析与管理[J],金融与经济,2004,9:40-41
[144] 高蔷,利率市场化下我国商业银行的管理策略[J],金融与经济,2004,11:41-42
[145] 唐婧,王超,论寿险公司的资产负债管理[J],特区经济,2004,12:134
[146] 朱书尚,李端,汪寿阳,论投资组合与金融优化——对理论研究和实践的分析与反思[J],管理科学学报,2004,7(6):1-12
[147] 蔡青青,浅谈寿险利差损及其化解[J],中国保险管理干部学院学报,2004,2:22-24
[148] 刘建强,缺口管理在寿险公司资产负债管理中的应用[J],经济论坛,2004,21:100-102
[150] 程乐观,刘胜会,新时期我国商业银行资产负债管理[J],上海经济管理干部学院学报,2004,2(3):60-64
[151] 刘建强,俞自由,远期利率在寿险公司资产负债管理中的应用[J],山西财经大学学报,2004,26(6):112-115
[152] 苏莉,中国寿险业资产负债管理研究[D],暨南大学硕士学位论文,2004
[153] 史鹏,柏满迎,贝叶斯方法在养老基金资产负债管理中的应用[J],数理统计与管理,2005,25(4):46-52
[154] 陈志国,持续熊市背景下养老基金的资产负债管理——瑞士养老保险基金管理经验及其启示[J],人口与经济,2005,3:72-76
[155] 赵天荣,存续期缺口模型在资产负债管理中的应用[J],财经科学,2005,3:235-237
[156] 刘建强,俞自由,诸廷助,对我国寿险公司资产负债管理的客观评价及建议[J],生产力研究,2005,1:67-69
[157] 陈新跃,张文武,利率市场化条件下我国商业银行资产负债管理技术研究[J],金融论坛,2005,3:39-45
[158] 廖发达,美国寿险公司资产配置的结构变迁及启示[J],证券市场导报,2005,6:14-18
[159] 王海艳,美国寿险业的资产负债管理体系[J],上海保险,2005,4:61-63
[160] 周力生,欧盟偿付能力监管体系改革及意义[J],保险研究, 2005,2:90-92
[161] 刘蓉,佟德庆,寿险公司风险控制与管理—动态资产负债管理的视角[J],山西财经大学学报,2005,27(3):104-107
[162] 陈文辉,丁昶,寿险公司资产负债匹配管理[J],中国金融,2005,3:50-51
[163] Bierwag, G. O.; Kaufman, George G.; Toevs, Alden, Duration: Its development and use in bond portfolio management[J], Financial Analysts Journal, 1983, 39(4): 15-35
[164] Fisher, Lawrence Weil, Roman Coping with the risk of interest rate fluctuations: Returns to bondholders from na?ve optimal strategies[J], Journal of Business, 1971, 44(4): 408-431
[165] Cox John C, Ingersoll Jr. Jonathan E, Ross Stephen A, Duration and the measurement of basis risk[J], Journal of Business, 1979, 52(1): 51-61
[166] 李洁,资产负债管理在寿险公司的运用初探[D],西南财经大学硕士学位论文,2000
[167] 谢云山,林妙莹,利率期限结构理论综述[J],云南财贸学院学报,2005,21(1):52-56
[168] 林海,中国利率期限结构及应用研究[D],厦门大学博士学位论文,2003
[169] John C.Hull, Options, futures, and other derivative securities[M], 1989: 83-88
[170] Jae Ha Lee, Duan R. Stock, Embedded options and Interest rate risk for insurance companies, banks and other financial institutions[J], The Quarterly Review of Economics and Finance, 2004, 40:169-187.
[171] Marie-odile Albizzati, Helyette G.eman, Interest rate risk management and valuation of the surrender option in life insurance policies[J], The Journal of Risk and Insurance, 1994, 61(4): 461-487
[172] Bacinello, R., S.A. Persson, Design and pricing of equity-linked life insurance under stochastic interest rates[J], Journal of Risk Finance, 2002, 3(2): 6-21
[173] Anna Rita Bacinello, Fair valuation of a guaranteed life insureance participating contract embedding a surrender option[J], The Journal of Risk and Insurance, 2003, 70(3), 461-487
[174] 郑振龙,林海,银行资产负债中隐含期权的定价[J],金融研究,2004,7:23-30
[175] Chambers, Donald R.; Carleton, Willard T., A new approach to estimation of the term structure of interest rates[J], Journal of Financial and Quantitative Analysis, 1984, 19(3): 233-252
[176] Paroush, Jacob, Integer programming technique to construct statistical tests[J], American Statistician, 1969, 23(5): 43-45
[177] 谢志刚,韩天雄,风险理论与非寿险精算[M],天津:南开大学出版社,2000:155-160
[178] 王春峰,金融市场风险管理[M],天津:天津大学出版社,2001:75-76
[179] 成世学,破产论研究综述[J],数学进展,2002,31(5):404-424
[180] Samuelson P., Life time portfolio selection by dynamic stochastic programming[J], The Review of Economics and Statistics,1969, 50:239-246.
[181] Merton R C., Lifetime portfolio selection under uncertainty: the continuous-time case [J], Review of Economics and Statistics, 1969, 51:247-257
[182] Fama E F, Multiperiod consumption-investment decisions[J], American Economic Review, 1970, 60:163-174.
[183] 黄薇,不确定下投资决策的控制优化模型研究[D],重庆大学博士学位论文, 2002
[2] 戴稳胜,中国保险业资产负债建模分析[M],北京:经济科学出版社,2004,6: 13-16
[3] Harry Markowitz, Portfolio selection[J], Journal of Finance, 1952, 7(1): 77-91
[4] Black, Fischer Scholes, Myron, The Pricing of Options and Corporate Liabilities[J], Journal of Political Economy, 1973, 81(3): 637-655
[5] Kusy, M. I, Ziemba, W. T. A bank asset and liability management model[J], Operations Research, 1986, 34(3): 356-377
[6] Van Eeghen J, Duration matching: some practical aspects[M], Liber Amicorum G. W. 1994: 25-28
[7] Palmgren B, Asset liability management and strategies of profit sharing[J], Transactions ICA Brussels, 1995, 3:567-576
[8] Harris G., Statistical data analysis and stochastic asset model validation[J], Transactions ICA Brussels, 1995, 3: 311-332
[9] Tanaka S. Asset-liability modeling of corporate pension plans within the surplus framework based on 2-factor durations[M], Transactions ICA Brussels, 1995, 3:667-688
[10] Black, Fischer Scholes, Myron, The valuation of option contracts and a test of market efficiency[J], Journal of Finance, 1972, 27(2): 399-418
[11] Cemal Berk Oguzsoy, Sibel Guven, Bank asset and libility management under uncertainty[J], European Journal of Operational research, 1997,102: 575-600
[12] Schmidt K, Chain ladder prediction and asset liability management[M], Technische university, 1997: 62-68
[13] Rowland V. T, Conde F. S.Dynamic financial analysis issues in investment portfolio management[J], Casualty Actuarial Society Forum, 1996: 205-240
[14] John M. Mulvey, Daniel P. Rosenbaum, Strategic financial risk management and operations research[J], European Journal of Operational Research, 1997, 97:1-16
[15] Ang A., Sherris M, Interest rate risk management: Developments in interest rate term structure modeling for risk management and valuation of interest-rate-dependent cash flows[J], North American Actuarial Journal, 1997,1:1-26
[16] Yigal Gerchak, Shaun Wang, Liquid asset allocation using “newsvendor” models with convex shortage costs[J], Insurance: Mathematics and Economics, 1997, 20: 17-21
[17] David Blake, Pension schemes as options on pension fund assets: implication for pension fund management[J], Insurance: Mathematics and Economics, 1998, 23: 263-286
[18] W. T. Ziemba, J. M. Mulvey, Worldwide asset and liability modeling[M], Cambridge University Press, Cambridge, 1998: 102-106
[19] Anders Grosen, Fair valuation of life insurance liabilities: the impact of interest rate guarantees, surrender options, and bonus policies[J], Insurance: Mathematics and Economics, 2000, 26: 37-57
[20] G. Zanghirati, F. Cocco, A Cray T3E implementation of a parallel stochastic dynamic assets and liabilities management model[J], Parallel Computing, 2000, 26: 539-567
[21] Jae Ha Lee, Duane R. Stock, Embedded options and interest rate risk for insurance companies, banks and other financial institutions[J], Quarterly Review of Economics and Finance, 2000, 40: 169-187
[22] Erik Taflin, Equity allocation and portfolio selection in insurance[J], Insurance: Mathematics and Economics, 2000, 27: 65-81
[23] Kjetil Hoyland, Stein W. Wallace, Analyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management model[J], European Journal of Operational Research, 2001, 134: 293-308
[24] Ricardo Josa-Fombellida, Minimization of risks in pension funding by means of contributions and portfolio selection[J], Insurance: Mathematics and Economics, 2001, 29: 35-45
[25] Gary P. Moynihan, Prasad Purushothaman, DSSALM: A decision support system for asset and liability management[J], Decision support system, 2002, 33:23-38
[26] Stein-Erik Fleten, Kjetil Hoyland, The performance of stochastic dynamic and fixed mix portfolio models[J], European Journal of Operational Research, 2002, 140:37-49
[27] Andrew Saporoschenko, The sensitivity of Japanese bank stock returns to economic factors: An examination of asset and liability differences and main bank status[J], Global Finance Journal, 2002, 13: 253-270
[28] Pierre Devolder, Manuela Bosch Princep, Stochastic optimal control of annuity contracts[J], Insurance: Mathematics and Economics, 2003, 33: 227-238
[29] Karl Frauendorfer, Michael Schurle, Management of non-maturing deposits by multistage stochastic programming[J], European Journal of Operational research, 2003, 151: 602-616
[30] Ton G. de Kok, Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure[J], Insurance: Mathematics and Economics, 2003, 33: 645-658
[31] David F, Schrager, Pricing rate of return guarantees in regular premium unit linked insurance[J], Insurance: Mathematics and Economics, 2004, 35: 369-398
[32] John M. Mulvey, Bala Shetty, Financial planning via multi-stage stochastic optimization[J], Computers & Operations Research, 2004, 31: 1-20
[33] Markus Rudolf, William T. Ziemba, Intertemperal surplus management[J], Journal of Economic Dynamics & Control, 2004, 28:975-990
[34] Markus Leippold, Fabio Trojani, A geometric approach to multiperiod mean variance optimization of assets and liabilities[J], Journal of Economic Dynamics and control, 2004, 28: 1079-1113
[35] C. Frangos, S. A. Zenios, Computation of feasible portfolio control strategies for an insurance company using a discrete time asset and liability model[J], Mathematical and Computer Modelling, 2004, 40: 423-446
[36] Arnold F. Shapiro, Fuzzy logic in insurance[J], Insurance: Mathematics and Economics, 2004, 35: 399-424
[37] Petter E. de Lange, Modeling financial reinsurance in the casualty insurance business via stochastic programming[J], Journal of Economic Dynamics and Control, 2004, 28: 991-1012
[38] Roy Kouwenberg, Scenario generation and stochastic programming models for asset liability management[J], European Journal of Operational research, 2004, 134: 279-292
[39] Paolo Battocchio, Francesco Menoncin, Optimal pension management in a stochastic framework[J], Insurance: Mathematics and Economics, 2004, 34:79-95
[40] Jerome Barbarin, Pierre Devolder, Risk measure and fair valuation of an investment guarantee in life insurance[J], Insurance: Mathematics and Economics, 2005, 37: 297-323
[41] Leslaw, Gajek, Axiom of solvency and portfolio immunization under random interest rates[J], Insurance: Mathematics and Economics, 2005, 36: 317-328
[42] Nicole E. Karoui, Monique Jeanblanc, Optimal portfolio management with American capital guarantee[J], Journal of Economic Dynamics and Control, 2005, 29: 449-468
[43] K. U. Leuven, A path integral approach to asset-liability management[J], Physica A, 2006, 363: 404-416
[44] Norbert J, Gautam Mitra, Integrating market and credit risk: A simulation and optimization perspective[J], Journal of banking & finance, 2006, 30:717-742
[45] Andrea Consiglio, David Saunders, Asset and liability management for insurance products with minimum guarantees: The UK case[J], Journal of Banking and Finance, 2006, 30: 645-667
[46] Hong-Chih Huang, Andrew J. G. Cairns, On the control of defined-benefit pension plans[J], Insurance: Mathematics and Economics, 2006, 38: 113-131
[47] Chambers.D, Charnes. A, Inter-temporal analysis and optimization of bank portfolios[J], Management Science, 1961, 7(4):393-410
[48] Cohen, Kalman J, Liner programming and optimal bank asset management decisions[J], Journal of Finance, 1967, 22(2): 147-165
[49] Hammer Richard, Financial planning to avoid tax problems[J], International Journal of Accounting, 1972, 7(2): 23-34
[50] Beazer. William, Monetary Economics[J], Journal of Finance, 1976, 31(1): 172-174
[51] Brodt. Abraham, A dynamic balance sheet management model for a Canadian chartered bank[J], Journal of Banking and Finance, 1978, 2(3), 221-241
[52] Spellman. Lewis J, Deposit ceilings and efficiency of financial intermediation[J], Journal of Finance, 1980, 35(1): 129-137
[53] Taylor. Sam G, Bradley Charles E, Optimal ordering strategies for announced price increases[J], Operations Research, 1985, 33(2): 312-325
[54] Brush Brian.C, Crane Steven E, The effect of market power on the fringe benefit of labor compensation[J], Quarterly Journal of Business and Economics, 1985, 24(4): 70-85
[55] Haberman S, Sung J. H, Dynamic approaches to pensioin funding[J], Insurance: Mathematics and Economics, 1994, 15: 151-162
[56] Blake, D, Pension schemes as options on pension fund assets: implications for pension fund management[J], Insurance: Mathematics and Economics, 1998,23: 263-286
[57] Wilkie, A. D, The matching of assets to liabilities[J], Journal of the Institute of Actuaries, 1985, 111, 229-277
[58] Cairns, A.J. Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time[J]. ASTIN Bulletin, 2000, 30: 19–55
[59] Cairns, A.J., Parker, G.,. Stochastic pension fund modeling[J], Insurance: Mathematics and Economics, 1997, 21: 43–79
[60] Chang, S.C.,Realistic pension funding: a stochastic approach[J], Journal of Actuarial Pratice, 2000, 8: 5–42
[61] Andersson, F., Mauser, H., Rosen, D., Uryasev, S., Credit risk optimization with conditional Value at-Risk criterion[J], Mathematical Programming, 2001, 89: 273–291
[62] Kealhofer, S., Portfolio management of default risk: Net Exposure[J], The Electronic Journal of Financial Risk, 1998, 1 (2).6-12
[63] Rockafellar, R.T., Uryasev, S., Optimization of conditional Value-at-Risk[J], The Journal of Risk, 2000, 2(3): 21–41
[64] Jobst, N.J., Zenios, S.A., The tail that wags the dog: Integrating credit risk in asset portfolios[J], The Journal of Risk Finance, 2001, 3 (1): 31–43
[65] Hull, J., White, A., Pricing interest rate derivative securities[J]. Reviews of . Financial Studies, 1990, 3: 573–592
[66] Kemna, A., Vorst, A, A pricing method for options based on average asset values[J], Journal of Banking and Finance,1990, 14: 113–129
[67] Nielsen, J.A., Sandmann, K., The pricing of Asian options under stochastic interest rates[J]. Applied Mathematical Finance, 1996, 3: 209–236
[68] Nielsen, J.A., Sandmann, K., Pricing bounds on Asian options[J], Journal of Financial & Quantitative Analysis 2003, 38(2): 449–473
[69] Geman, H., Changes of Numeraire, changes of probability measure and option pricing[J], Journal of Applied. Probability. 1995, 32: 443–458
[70] Baccinello, A.R., Ortu, F., Pricing equity-linked life insurance with endogenous minimum guarantees[J], Insurance: Mathematics and Economics, 1993, 12(3): 245–258
[71] Boyle, P.P., Hardy, M.R, Reserving for maturity guarantees: two approaches[J], Insurance: Mathematics and Economics, 1997, 21: 113–127
[72] Karatzas, I., On the pricing of the American option[J], Applied Mathematics andOptimization, 1988, 17: 37–60
[73] Broadie, M., Pricing American-style securities using simulation[J], Journal of Economic Dynamics and Control, 1997, 21: 1323–1352.
[74] Tilley, J., Valuing American options in a path simulation model[J], Transactions of the Society of Actuaries, 1993, 45: 83–104
[75] Hutchison, D., Pennacchi, G., Measuring rents and interest rate risk in imperfect financial markets: the case of retail deposits[J], Journal of Financial and Quantitative Analysis, 1996, 31: 399–417
[76] Longstaff, F., Schwartz, E. A simple approach to valuing risky fixed and floating rate debt[J], Journal of Finance, 1995, 50: 789–820.
[77] Flannery, M., James, C. The effect of interest rate changes on the common stock returns of financial institutions[J], Journal of Finance, 1984, 39: 1141–1153
[78] Santomero, A., Babbel, D, Financial risk management by insurers: an analysis of the process[J], Journal of Risk and Insurance, 1997, 64: 231–270
[79] Schwartz, E., Torous, W. Prepayment and the valuation of mortgage pass through securities[J]. Journal of Business, 1992, 15: 221–240
[80] Stock, D.,Simonson, D. Tax-adjusted duration for amortizing debt instruments[J]. Journal of Financial and Quantitative Analysis, 1988, 23: 313–328
[81] John M. Mulvey, Hafize G. Erkan, Applying CVaR for decentralized risk management of financial companies[J], Journal of Banking and Finance, 2006, 30: 627-644
[82] Thomas F. Coleman, Yuying Li, Hedging guarantees in variable annuities under both equity and interest rate risk[J], Insurance: Mathematics and Economics, 2006, 38: 215-228
[83] Christian Burgert, Consistent risk measures for portfolio vectors[J], Insurance: Mathematics and Economics, 2006, 38: 289-297
[84] Michael Kunkler, Modelling negatives in stochastic reserving models[J], Insurance: Mathematics and Economics, 2006, 38: 540-555
[85] Kevin Dowd, Andrew J. G. Cairns, Mortality-dependent financial risk measures[J], Insurance: Mathematics and Economics, 2006, 38: 427-440
[86] Laura Ballotta, Steven Haberman, The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case[J], Insurance: Mathematics and Economics, 2006, 38: 195-214
[87] Ka Chun Cheung, Oprimal portfolio problem with unknown dependency structure[J], Insurance: Mathematics and Economics, 2006, 38: 167-175
[88] Ning Gong, Tao Li, Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption[J], Applied Mathematics and Computation, 2006, 174: 710-731
[89] Alexey Y. Golubin, Optimal decision rule in forming an insurance portfolio[J], Operations Research Letters, 2006, 34: 316-322
[90] Andrew J. G. Cairns, David Blake, Kevin Dowd, Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans[J], Journal of Economic Dynamics and Control, 2006, 30: 843-877
[91] Helene Cossette, David Landriault, Ruin probabilities in the discrete time renewal risk model[J], Insurance: Mathematics and Economics, 2006, 38: 309-323
[92] 王建欣,商业银行的资产负债管理[J],金融理论与实践,1994,10:49-50
[93] 宋海,美国商业银行的资产负债管理[J],国际金融研究,1996,3:27-31
[94] 施红秀,薛文才,关于资产负债几个具体问题的研究[J],金融理论与实践,1995,9:5-9
[95] 彭建刚,西方商业银行资产负债管理探析[J],金融理论与实践,1999,5:46-48
[96] 陈友平,论保险资金管理体制[J],保险研究,1999,2:9-11
[97] 陈友平,论保险公司的投资策略[J],保险研究,2000,7:12-13
[98] 王韧,论化解寿险企业利差损风险的有效途径[J],湖南商学院学报,2000,11:55-57
[99] 张绪风,美监管偿付能力的几种财务报告分析法[J],中国保险,2000,1:45-46
[100] 程迎杰,秦成林,商业银行资产负债管理的随机规划模型[J],上海大学学报(自然科学版),2000,6(6):485-490
[101] 李秀芳,我国寿险业的利率风险分析及其防范[J],南开经济研究,2000,1:57-61
[102] 晏正君,利率市场化与银行资产负债管理[J],哈尔滨金融高等专科学校学报,2001,3:13-16
[103] 张绪风,论寿险公司的偿付能力管理[J],保险研究,2001,9:18-20
[104] 李秀芳,关凌,论资产负债管理技术指导下的寿险产品战略[J],南开经济研究,2001,4:59-63
[105] 张琦,蒋馥,期限结构模型在资产负债管理问题中应用的探讨[J],预测,2001,20(2):45-48
[106] 庄新田,黄小原,银行资产负债管理的模型及其优化[J],系统工程理论方法应用,2001,10(2):168-172
[107] 迟国泰, 徐琤,银行资产负债管理中资产分配模型[J],大连理工大学学报,2001,41(4):62-66
[108] 陈迪红,潘竟成,保险公司动态财务分析初探[J],财经理论与实践,2002,23(116):72-77
[109] 蒋洪浪,保险投资的资金配置策略[J],保险研究,2002,8:34-35
[110] 李秀芳,从中国寿险业的资产负债管理谈监管环境的改善[J],南开经济研究,2002,4:35-37
[111] 秦振球,俞自由,从资产负债管理看我国寿险产品开发和资金运用[J],上海保险,2002,12:26-28
[112] 迟国泰, 奚扬,基于 VaR 约束的银行资产负债管理优化模型[J], 大连理工大学学报,2002,42(6):750-758
[113] 李苇莎,利率市场化趋势下商业银行资产负债管理的应对之策[J], 上海金融,2002,10:42-44
[114] 姚澜,浅析持续期和风险免疫技术在银行利率风险管理中的应用[J],辽宁大学学报,2002,30(3):70-72
[115] 张学江,人寿保险公司的资产负债管理[J],金融研究,2002,9:72-79
[117] 成会,商业银行资产负债的动态匹配管理[J],财经理论与实践,2002,23(116):28-29
[118] 李秀芳,李静,中国寿险业资产负债管理模式研究及其数学模型[J],金融研究,2002,7:59-68
[119] 洪涛,我国保险公司偿付能力监管评价研究及实证分析[D],首都经济贸易大学硕士学位论文,2002
[120] 关国亮,保险资金运用与资产负债管理[J],中国保险,2003,3:12-14
[121] 王海艳,张庆洪,持期匹配及隐含期权条件下的持期计算[J],同济大学学报,2003,31(12):1486-1489
[122] 刘经纶,低利率环境下人寿保险公司投资面临的挑战与对策[J],保险研究 2003,5:8-10
[123] 陈小宪,加速建立现代商业银行的资产负债管理体系[J],金融研究,2003, 2:30-37
[124] 徐志宏,金融创新与资产负债管理[J],中国城市金融,2003,6:4-6
[125] 陈芳,利率风险管理:商业银行资产负债管理的着力点[J],华南金融研究, 2003,4:39-40
[126] 李贺,安立伟,利率市场化与商业银行的风险管理[J],北方经贸,2003,12:105-106
[127] 关国亮,论保险资金运用与资产负债管理[J],保险研究,2003,5:5-7
[128] 刘新立,董峥,论我国保险公司的整合风险管理[J],保险研究,2003,2:31-34
[129] 张春妮,缺口管理在我国商业银行利率风险管理中的运用[J],市场周刊,2003,11:23-25
[130] 尹群,银行资产负债管理系统的设计与实现[J],华南金融电脑,2003,3:46-47
[131] 秦振球,周淳,俞自由,中国保险业资产负债与证券市场的对接研究[J],江西财经大学学报,2003,5:23-26
[132] 魏雪梅,我国寿险公司利率风险研究[D],天津大学硕士学位论文,2003
[133] 秦旭,保险投资的风险管理理论与方法研究[D],天津大学管理学院博士论文,2003
[135] 齐洪昌,中国养老保险基金的运营与监管[D],首都经济贸易大学硕士学位论文,2003
[136] 陈迪红,保险公司资产负债管理技术及其发展趋势[J],金融与保险,2004,25(129):40-42
[137] 刘喜华,保险资金运用与寿险公司的资产负债管理[J], 保险研究,2004,4:21-26
[138] 赵家敏,苏莉,从资产负债管理看日本寿险业的利差损问题及对我国的启示[J],现代日本经济,2004,2:28-32
[139] 王超,唐涛,对目前我国利率定价问题的几点思考[J],特区经济,2004,12,213-214
[140] 刘喜华,关注寿险公司资产负债管理[J],中国保险,2004,4:46-49
[141] 刘建强,基于现金流匹配的寿险公司资产负债管理方法[J],财会通讯,2004,8:26-28
[142] 张长征, 唐鹏,利率风险管理创新的轨迹及对我国的启示[J],特区经济,2004,12:222-223
[143] 汪柱旺,利率市场化进程中商业银行的风险分析与管理[J],金融与经济,2004,9:40-41
[144] 高蔷,利率市场化下我国商业银行的管理策略[J],金融与经济,2004,11:41-42
[145] 唐婧,王超,论寿险公司的资产负债管理[J],特区经济,2004,12:134
[146] 朱书尚,李端,汪寿阳,论投资组合与金融优化——对理论研究和实践的分析与反思[J],管理科学学报,2004,7(6):1-12
[147] 蔡青青,浅谈寿险利差损及其化解[J],中国保险管理干部学院学报,2004,2:22-24
[148] 刘建强,缺口管理在寿险公司资产负债管理中的应用[J],经济论坛,2004,21:100-102
[150] 程乐观,刘胜会,新时期我国商业银行资产负债管理[J],上海经济管理干部学院学报,2004,2(3):60-64
[151] 刘建强,俞自由,远期利率在寿险公司资产负债管理中的应用[J],山西财经大学学报,2004,26(6):112-115
[152] 苏莉,中国寿险业资产负债管理研究[D],暨南大学硕士学位论文,2004
[153] 史鹏,柏满迎,贝叶斯方法在养老基金资产负债管理中的应用[J],数理统计与管理,2005,25(4):46-52
[154] 陈志国,持续熊市背景下养老基金的资产负债管理——瑞士养老保险基金管理经验及其启示[J],人口与经济,2005,3:72-76
[155] 赵天荣,存续期缺口模型在资产负债管理中的应用[J],财经科学,2005,3:235-237
[156] 刘建强,俞自由,诸廷助,对我国寿险公司资产负债管理的客观评价及建议[J],生产力研究,2005,1:67-69
[157] 陈新跃,张文武,利率市场化条件下我国商业银行资产负债管理技术研究[J],金融论坛,2005,3:39-45
[158] 廖发达,美国寿险公司资产配置的结构变迁及启示[J],证券市场导报,2005,6:14-18
[159] 王海艳,美国寿险业的资产负债管理体系[J],上海保险,2005,4:61-63
[160] 周力生,欧盟偿付能力监管体系改革及意义[J],保险研究, 2005,2:90-92
[161] 刘蓉,佟德庆,寿险公司风险控制与管理—动态资产负债管理的视角[J],山西财经大学学报,2005,27(3):104-107
[162] 陈文辉,丁昶,寿险公司资产负债匹配管理[J],中国金融,2005,3:50-51
[163] Bierwag, G. O.; Kaufman, George G.; Toevs, Alden, Duration: Its development and use in bond portfolio management[J], Financial Analysts Journal, 1983, 39(4): 15-35
[164] Fisher, Lawrence Weil, Roman Coping with the risk of interest rate fluctuations: Returns to bondholders from na?ve optimal strategies[J], Journal of Business, 1971, 44(4): 408-431
[165] Cox John C, Ingersoll Jr. Jonathan E, Ross Stephen A, Duration and the measurement of basis risk[J], Journal of Business, 1979, 52(1): 51-61
[166] 李洁,资产负债管理在寿险公司的运用初探[D],西南财经大学硕士学位论文,2000
[167] 谢云山,林妙莹,利率期限结构理论综述[J],云南财贸学院学报,2005,21(1):52-56
[168] 林海,中国利率期限结构及应用研究[D],厦门大学博士学位论文,2003
[169] John C.Hull, Options, futures, and other derivative securities[M], 1989: 83-88
[170] Jae Ha Lee, Duan R. Stock, Embedded options and Interest rate risk for insurance companies, banks and other financial institutions[J], The Quarterly Review of Economics and Finance, 2004, 40:169-187.
[171] Marie-odile Albizzati, Helyette G.eman, Interest rate risk management and valuation of the surrender option in life insurance policies[J], The Journal of Risk and Insurance, 1994, 61(4): 461-487
[172] Bacinello, R., S.A. Persson, Design and pricing of equity-linked life insurance under stochastic interest rates[J], Journal of Risk Finance, 2002, 3(2): 6-21
[173] Anna Rita Bacinello, Fair valuation of a guaranteed life insureance participating contract embedding a surrender option[J], The Journal of Risk and Insurance, 2003, 70(3), 461-487
[174] 郑振龙,林海,银行资产负债中隐含期权的定价[J],金融研究,2004,7:23-30
[175] Chambers, Donald R.; Carleton, Willard T., A new approach to estimation of the term structure of interest rates[J], Journal of Financial and Quantitative Analysis, 1984, 19(3): 233-252
[176] Paroush, Jacob, Integer programming technique to construct statistical tests[J], American Statistician, 1969, 23(5): 43-45
[177] 谢志刚,韩天雄,风险理论与非寿险精算[M],天津:南开大学出版社,2000:155-160
[178] 王春峰,金融市场风险管理[M],天津:天津大学出版社,2001:75-76
[179] 成世学,破产论研究综述[J],数学进展,2002,31(5):404-424
[180] Samuelson P., Life time portfolio selection by dynamic stochastic programming[J], The Review of Economics and Statistics,1969, 50:239-246.
[181] Merton R C., Lifetime portfolio selection under uncertainty: the continuous-time case [J], Review of Economics and Statistics, 1969, 51:247-257
[182] Fama E F, Multiperiod consumption-investment decisions[J], American Economic Review, 1970, 60:163-174.
[183] 黄薇,不确定下投资决策的控制优化模型研究[D],重庆大学博士学位论文, 2002