《保险研究》20230304-《负债驱动投资理念及对寿险公司战略资产配置的启示——以分红险为例》（余安然、张磊、李进、张攻玉）

［摘   要］在当前全球经济基本面存在不确定性的背景下,如何进行有效资产配置依然是保险行业亟待解决的难题。而在各类寿险产品中,分红险具有一定的代表性和特殊性,其特殊之处在于风险与收益的非对称关系。基于此,本文首先分析了寿险公司战略资产配置的难点,以分红险为例指出固定给付类产品的隐含期权特征。之后,通过隐含期权的下行风险负债驱动投资模型,从理论上阐释了固定给付类产品的资产负债管理思路。紧接着又探讨了此类产品的成本评估和资产配置方法,从而发现基于负债驱动投资理念的动态财务情景分析法最为适宜。最后本文结合当前热点金融事件,给出了分红险等固定给付类产品的资产负债管理建议,为寿险公司等机构的战略资产配置提供了启示。

［关键词］负债驱动投资；战略资产配置；分红险；动态财务情景分析法；资产负债管理

［作者简介］余安然，天津商业大学经济学院金融系讲师；张磊，中国保险资产管理业协会研究规划部研究团队负责人；李进，中国保险资产管理业协会资产负债管理专委会委员；张攻玉，北美精算师。

Liability Driven Investment and Enlightenment on Strategic Asset Allocation for Life Insurance Company—Take Participating Insurance as an Example

YU An-ran,ZHANG Lei,LI Jin,ZHANG Gong-yu

Abstract：In the context of the current uncertainties in the global economic fundamentals,how to conduct effective asset allocation is still an urgent problem for the insurance industry to solve.Among all kinds of life insurance products,participating insurance is typical and unique to some extent,and its special feature lies in the asymmetric relationship between risk and return.Based on this,this paper first analyzes the difficulties in the strategic asset allocation of life insurance companies,and takes the participating insurance as an example to point out the implied option characteristics of fixed benefit products.Then,through the downside risk liability-driven investment model of implied options,it theoretically explains the asset-liability management thinking of fixed benefit products.It further discusses the cost evaluation and asset allocation methods of such products,and finds that the dynamic financial scenario analysis method based on the concept of liability-driven investment is the most suitable.Finally,this article combines the current hot financial issues to give suggestions on the asset-liability management of fixed benefit products such as participating insurance,which provides inspiration for the strategic asset allocation of life insurance companies and other institutions.

Key words：liability-driven investment;strategic asset allocation;participating insurance;dynamic financial scenario analysis;asset liability management