资产负债培训 ALM Tools & Techniques

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1、2003 Firm Name/Legal EntityALM 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）ALM Tools & Techniques - Robert Chen ALM 工具与技巧 Robert Chen2005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Contents 目录The ALM problem （资产负债管理问题）The ALM toolkit Asset

2、s （资产负债管理工具 资产）The ALM toolkit Liabilities （资产负债管理工具 负债）Role of a credible model （可靠模型的角色）The actuary as the ALM manager （精算师担任资产负债管理经理）22003 Firm Name/Legal EntityThe ALM Problem.资产负债管理问题.ALM Tools & Techniques - Robert Chen ALM 工具与技巧 Robert Chen2005 Deloitte Actuarial and Insurance Solutions (HK)

3、Ltd.The ALM Problem the business of a life insurer资产负债管理问题 寿险公司的业务Liabilities负债Sales销售OtherProceeds其他收益ShareholderCapital股东资本Assets资产Investment/Own use投资/自用Business costs(expenses, tax, etc)业务成本（费用、税收等）PolicyholderBenefits/Bonuses保户理赔/红利Shareholder Profit 股东利润“Reserves”“储备金”FreeAssets自由资产42005 Deloi

4、tte Actuarial and Insurance Solutions (HK) Ltd.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Insurers 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 negati

5、ve!) 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52005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Whats in common 共同之处Highest possible rate of return 尽可能取得最高回报率F

6、or 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 desires of stakeholders资产负债管理问题 利益相关人士的期望62005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.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

7、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 Probl

8、em the challenge for a life company资产负债管理问题 寿险公司面临的挑战72005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.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

9、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82005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Profit on a market value basis can be inhere

10、ntly unstable and unpredictable用市场价值基础测量的利润或许是不稳定的、不可预测的“Accounting profit” may be stable, but it does not reflect change in economic value“账面利润”也许是稳定的，但它并不完全反映经济价值的变化ALM gives the company more control over the economic profit资产负债管理可提高公司对其经济利润的控制能力The ALM Problem the challenge for a life company资产负债

11、管理问题 寿险公司面临的挑战92005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Availability of suitable assets 是否可得到适当的资产Constrained by 受以下因素限制Range of products in the asset market 资产市场的产品范围Depth of the asset market 资本市场的深度Access to the asset market 进入资本市场的权限Regulatory restrictions 法规限制The ALM Problem Othe

12、r constraints资产负债管理问题 其他限制因素102005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Availability of suitable liabilities 是否可得到适当的负债Constrained by 受以下因素限制Sophistication of intermediaries 中介人的资历/知识Sophistication of customers 客户的资历/知识Cost of educating the market 进行市场教育的成本Regulatory restrictions 法规限制

13、The ALM Problem Other constraints 资产负债问题 其他限制因素112005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Industry environment 行业环境Can the company adopt sound ALM and still remain competitive? 公司可以采纳稳健的资产负债且同时保持竞争优势吗？The ALM Problem Other constraints 资产负债问题 其他限制因素122005 Deloitte Actuarial and Insura

14、nce Solutions (HK) Ltd.Maximise stakeholder value of the company through financial management通过财务管理，达到最高的公司股东价值Extensive management toolkit 广泛的管理工具Asset side tools 资产类工具Liability side tools 负债类工具(Usually difficult to separate between the categories) （这两类通常很难单独分开）The ALM Problem the A-L Manager 资产负债问

15、题 资产负债经理132005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Challenge is compounded / alleviated by: 以下两项则恶化缓解资产负债管理的挑战：Operational results 经营业绩Regulatory measures 监管措施The ALM Problem the A-L Manager 资产负债问题 资产负债经理142003 Firm Name/Legal EntityAsset tools.资产工具.ALM Tools & Techniques - Robert Ch

16、en ALM 工具与技巧 Robert Chen2005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Life offices are (large) investment managers 寿险公司是（大型）投资经理人Investment objectives: 投资目标：1.To meet liabilities 偿还负债2.To maximise return 获得最高回报Life office asset management 寿险公司资产管理162005 Deloitte Actuarial and Insurance So

17、lutions (HK) Ltd.The problem 问题Liabilities react in certain ways to changes in financial market conditions 负债对金融市场状况的反应方式多种多样Asset allocation needs to be disciplined and reflect this 资产分配需要加以严格的纪律，并反映负债的多样变化Asset tools Asset allocation 资产工具 资产分配172005 Deloitte Actuarial and Insurance Solutions (HK)

18、Ltd.The response 解决方案Strategic asset allocation (SAA) 策略性资产分配Long term allocation target 长期分配目标Reflect the risk tolerance / return requirement of the liability pool 反映公司的风险承受能力与负债的回报要求Clearly defined, concerns asset classes 明确地定义、关系到资产类别Tactical asset allocation (TAA) 战略性资产分配There may be market oppo

19、rtunities that emerge from time to time市场机会可能会不断涌现SAA should be in bands to allow investment managers to take advantage of theseSAA 应有一定的弹性，以便投资经理人可以利用这些机会Asset tools Asset allocation 资产工具 资产分配182005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.The problem 问题Assets need to be converted to cas

20、h资产需要转换为现金When they are needed to pay liability cash flows 当需要用资产支付负债现金流时At an amount that is near the value of liabilities it is supposed to support 资产转换成的现金的金额应接近其支持的负债价值Asset tools Asset liability matching 资产工具 资产负债匹配192005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.The response 解决方案Cash

21、 flow matching 现金流匹配Match asset and liability cash flows 匹配资产现金流和负债现金流But 但是Assets may not be available for so long 资产久期不会这么长Liability cash flows are not certain 负债现金流不确定Asset cash flows may not be certain 资产现金流可能不确定Asset tools Asset liability matching 资产工具 资产负债匹配202005 Deloitte Actuarial and Insura

22、nce Solutions (HK) Ltd.The response 解决方案Duration matching 久期匹配Matching the % change in value for assets and liabilities as market rates change 随市场利率的变动，匹配资产及负债的价值百分比变动But 但是Only work for small changes in interest rates 仅适用于利率发生微弱变化时Long duration assets may not be available 市场上或许没有长久期的资产Asset tools A

23、sset liability matching 资产工具 资产负债匹配212005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.The matching problem 匹配问题2 Choices 2 种选择Match lower risk, lower profit 匹配 风险越低、利润越低Not match higher risk, higher profit 不匹配 风险越高、利润越高Combination? 两者兼顾？How to match, how matched? 如何匹配？匹配程度？Depends on 取决于Avai

24、lability of suitable matching assets 是否可以得到适当的匹配资产Risk preferences of stakeholders 利益相关人士的风险偏好Ability of the company to withstand risk 公司承担风险的能力Cost of matching / rebalancing 匹配调配成本Asset tools Asset liability matching 资产工具 资产负债匹配222005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.The problem

25、问题Existing assets are lacking in 现有资产缺少以下方面的特点Level of return回报水平Quality of return (volatility)回报质量（波动幅度）Duration久期Diversification风险分散Asset tools Alternative asset classes资产工具 替代资产类别232005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Response 解决方案Take advantage of the range of “non-standard”

26、assets 利用各类“非标准”资产Usually only available over the counter 通常仅在场外交易提供Some examples 一些实例Mortgage backed securities 按揭证券Currency swaps 货币掉期Swaptions 掉期期权Asset tools Alternative asset classes资产工具 替代资产类别242005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Mortgage backed securities 抵押贷款支持证券What are

27、 they? 它们是什么？Securitised cash flows from an underlying pool of mortgages 抵押贷款集合产生的证券化现金流These cash flows are arranged into “tranches” 这些现金流划分为不同的“组别”Security holders buy cash flows from one of these tranches 证券持有人可买入其中一个组别的现金流MBSs are like bonds 抵押贷款支持证券类似于债券Asset tools Alternative asset classes 资产工

28、具 替代资产类别252005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Mortgage backed securities 抵押贷款支持证券Why do companies buy them 公司买入原因Long durations 期限长Yield enhancement 收益率提升Diversification of risks 分散风险Availability 充裕的市场供应Asset tools Alternative asset classes 资产工具 替代资产类别262005 Deloitte Actuarial a

29、nd Insurance Solutions (HK) Ltd.Mortgage backed securities 抵押贷款支持证券What are the risks 风险They bear prepayment risk and default risk 抵押贷款支持证券承担着预付风险和违约风险Interest rates fall: prepayments rise: reinvestment risk 利率下跌：预付款增加：再投资风险Interest rates rise: prepayments fall: extension risk 利率上涨：预付款减少：延长风险Asset t

30、ools Alternative asset classes 资产工具 替代资产类别272005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Currency swaps 货币掉期What are they? 释义They allow the insurer to swap cash flows in one currency to another 允许保险公司以将一种货币的现金流兑换成另一种货币的现金流Just like “normal” swaps 类似 “正常” 互换Fixed to floating, floating to

31、fixed 定息转浮息、浮息转定息Also allows fixed to fixed or floating to floating between currencies 还允许货币之间进行定息转定息、浮息转浮息Asset tools Alternative asset classes资产工具 替代资产类别282005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Currency swaps 货币掉期Why do companies buy them 公司买入原因Access assets which are not availab

32、le in the currency of liabilities 得以使用与负债金额不同货币的资产E.g. bonds of sufficiently long duration 例如久期足够长的债券What are the risks 风险Counterparty risk 交易对手风险Lack of certainty in ongoing hedging costs 持续对冲成本不确定Asset tools Alternative asset classes资产工具 替代资产类别292005 Deloitte Actuarial and Insurance Solutions (HK)

33、 Ltd.Swaptions 掉期期权What are they? 释义Option to enter into a swap at a future date于未来日期进行掉期的期权“Payer swaption”: “付款人掉期期权” ；“Receiver swaption”: “收款人掉期期权”；Asset tools Alternative asset classes资产工具 替代资产类别302005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Swaptions 掉期期权Why do companies buy them 公

34、司买入原因Hedge guaranteed future annuity conversion guarantees 对冲有担保未来年金兑换保证What are the risks 风险Lack of depth in the market 市场缺乏深度Counterparty risk 交易对手风险Asset tools Alternative asset classes资产工具 替代资产类别312005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Some observations 观察结果Alternative asset cl

35、asses are important to companies 替代资产类别对公司很重要Level of return 回报水平Quality of return 回报质量Duration 期限Diversification 多样化Hedging 风险对冲Asset tools Alternative asset classes 资产工具 替代资产类别322005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Some observations 观察结果Important to be aware of the full “cost”

36、of these assets必须知悉这些资产的全部“成本”No “free lunch” in the long run 长期来看，无“免费的午餐”Higher yields are merely compensation for higher risk较高收益率仅仅补充较大的风险Regulatory considerations 法规考虑因素Cost of capital 资金成本Are they allowed? 法规允许吗？Asset tools Alternative asset classes 资产工具 替代资产类别332005 Deloitte Actuarial and Ins

37、urance Solutions (HK) Ltd.Some observations 观察结果Buy them for the right reasons 出于正当原因买入Understand the risks 了解风险Shop around, time the purchases 寻找购买的最佳时间Asset tools Alternative asset classes 资产工具 替代资产类别342003 Firm Name/Legal EntityLiability tools.负债工具.ALM Tools & Techniques - Robert Chen ALM 工具与技巧 R

38、obert Chen2005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Long term and contingent 长期及随机性Contingencies arises from: 随机事件发生于：Demographic risks 死亡率、全残率风险Market risks (investment return) 市场风险（投资回报）Policyholder behaviour risks 保户行为风险Management behaviour risks 管理行为风险Life office liabilities 寿险公司负

39、债362005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Enormous volume of derivatives 大量衍生工具Traditional pricing philosophy 传统定价理念Create the options deep out of money 创立蚀价期权Assume zero cost 假设零成本Modern pricing philosophy 现代定价理念Create the options deep out of money 创立蚀价期权Allow for actual cost in p

40、remiums 保费反映实际成本Life office liabilities 寿险公司负债372005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.The problem 问题Lack of communication between product development and investment functions 产品开发与投资部门之间缺乏沟通Liabilities are created with complex embedded options 负债带有复杂的隐含期权These options may not be m

41、atched satisfactorily by assets 这些期权可能无法与资产完全匹配Resulting in uncertainty in profitability 导致盈利能力的不确定性Liability tools Product strategy 负债工具 产品策略382005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Option features of liabilities 负债期权特征Liabilities carry “contingent options” 负债带有“随机期权”Exercised on

42、the sooner of 于发生以下情况下，立即执行Death 过世Maturity 到期Lapse 解约Generally one of two types: 通常属于以下两类中的一类：short put options 卖出认沽期权short interest rate floors 卖出利率下限Liability tools Product strategy 负债工具 产品策略392005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Non participating product 不分红产品Forward on under

43、lying assets 相关资产的期货Liability tools Product strategy 负债工具 产品策略Payoff from a non-par policy with SA = 100不分红保单所得收益，其中不分红保单所得收益，其中 SA = 100-150-100-50050100150020406080100120140160180200Value of assets at time of claim索赔时的资产价值索赔时的资产价值Payoff to the company公司所占收益公司所占收益402005 Deloitte Actuarial and Insur

44、ance Solutions (HK) Ltd.Participating product 分红产品Short put + x% of a long call 卖出认沽期权 + 买入认购权的 x%x% = profit sharing percentage to shareholders x% = 股东所占利润的百分比(ignoring regular bonuses / dividends) （不计年度红利）Liability tools Product strategy 负债工具 产品策略Payoff from a par policy with分红保单所得收益分红保单所得收益SA = 1

45、00, no RB, s/h p/s% = 20%SA = 100、无无 RB、s/h p/s% = 20%-120-100-80-60-40-2002040020406080100120140160180200Value of assets at time of claim索赔时的资产价格索赔时的资产价格Payoff to the company公司所占收益公司所占收益412005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.The response 解决方案Development of products whose risks c

46、an be hedged 开发风险可对冲的产品Unit linked products 投资连结性产品Short term risk products 短期风险产品These can carry low profit margins, but is the extra margin enough to compensate for the additional risk?这些产品的利润率较低，但其他类别产品的额外利润足以补偿它们的额外风险吗？Liability tools Product strategy 负债工具 产品策略422005 Deloitte Actuarial and Insur

47、ance Solutions (HK) Ltd.The response 解决方案Comprehensive product sign-off process 全面的产品签核流程Investment return assumption signed off by investment management department由投资管理部门签核投资回报假设Investment and hedging strategy established during product development在产品开发过程中，制订投资及对冲策略If hedging capacity is limited, q

48、uotas imposed on the volume若对冲能力有限，则对销售量设定限额Stochastic pricing to ascertain real cost of options随机定价，以确定期权的实际成本Conscious decision to withdraw from certain markets?有意识的决定从若干市场撤出？Liability tools Product strategy 负债工具 产品策略432005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.The problem 问题Particip

49、ating business is an elegant way of sharing risks between policyholders and shareholders 分红保单是保单持有人与股东分担风险的绝好方法Question is how much? 问题是分红的数量Too low: uncompetitive 过低：没有竞争优势Too high: threaten solvency 过高：危胁偿付能力Liability tools bonus / dividend strategy 负债工具 红利股息策略442005 Deloitte Actuarial and Insuran

50、ce Solutions (HK) Ltd.Response 解决方案Forms of profit sharing利润分享的形式Contribution method 贡献分摊分红方法Match dividend outgo with sources of surplus 将分红支出与各种来源的盈余相匹配Terminal dividends 期末分红Defer guaranteeing (or paying out) profit sharing until the end 将保证（或派付出）的分红推迟到末期Liability tools bonus / dividend strategy

51、负债工具 红利股息策略452005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.A fragile market order 脆弱的市场秩序Only takes a few irresponsible players to disrupt the market 仅几个不负责任的市场成员，就能扰乱市场Aggressive competition in dividends can lead to 分红方面的激烈竞争会导致Decrease in the level of solvency of the whole industry 整个行业

52、的偿付能力下降Unrealistic profit sharing expectations from policy holders 保户得到不切合实际的分红期望Liability tools bonus / dividend strategy 负债工具 红利股息策略462005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.A fragile order 脆弱的市场秩序Actuaries and regulators bear a heavy responsibility to maintain order within the ma

53、rket 精算师和监管机构承担着保持市场秩序的沉重责任Cheaper to compete on quality of service 相比之下，服务质量的竞争所需的成本远低于分红率的竞争所需的成本。Liability tools bonus / dividend strategy 负债工具 红利股息策略472005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.The problem 问题Policyholders have an option to surrender 保户可选择解约Given a choice, they do i

54、t when it is the most advantageous for them to do so 保户会在对他们有最大利益时选择解约i.e. when its the least advantageous for the company也就是，对公司的损害最大时Liability tools persistency management 负债工具 解约管理482005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.The problem 问题Interest rates fall - policyholders remain w

55、ith the company 利率下跌 - 保单持有人选择不解约But embedded options increase in value 但隐含期权价值增加Reduction in profit margin, possible negative spread 利润率降低、可能出现负利差Interest rates rise - policyholders leave the company 利率上涨 - 保单持有人选择解约But values of fixed interest instruments have fallen 但定息票据（资产）价值下跌Capital losses 支付

56、解约金时公司蒙受损失Liability tools persistency management 负债工具 解约管理492005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.The response 解决方案Flexible surrender value scale 灵活的解约价值For traditional products 对于传统产品Non-guaranteed surrender values 不保证解约价值But the regulator needs to allow this 但监管机构需允许此项For unitis

57、ed products 对于投资联结性产品Market value adjustments 市场价值调整But the policy conditions have to allow this 但保单条件须允许此项Liability tools persistency management 负债工具 解约管理502005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.The response 解决方案Persistency management scheme 解约管理计划Encourage persistency when intere

58、st rates rise 利率上涨时，鼓励保户持续保单Through surrender penalties that match underlying asset values 通过符合相关资产价值的解约罚金Through distribution channel compensation 通过分销渠道补偿Offer additional benefits (e.g. free gym membership)提供额外利益（如免费健身会员卡）Discourage persistency when interest rates fall 利率下跌时，不鼓励持续管理Removal of surr

59、ender penalties 取消解约罚金Offer more substitutes at favourable rates 以更有利的利率提供更新型的替代品Liability tools persistency management 负债工具 解约管理512003 Firm Name/Legal EntityRole of a crediblemodel.可靠模型的作用.ALM Tools & Techniques - Robert Chen ALM 工具与技巧 Robert Chen2005 Deloitte Actuarial and Insurance Solutions (HK)

60、 Ltd.Credible model = test track for strategies 可靠模型 = 策略测试的实验室Allows management to quantify the impact of strategies 使管理层可量化策略的影响Brings together the effect of asset and liability tools 将资产及负债工具的运用和互动的结果结合在一起Role of a credible model 可靠模型的作用532005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.I

61、t is a management information system 它是管理信息系统Diagnostic tool 诊断工具Tells you how things are 告知现在的情况Produces the risk measures to monitor the business 计算风险衡量基准，以监控业务First set of ALM results often lead to fresh insights into the business 第一组资产负债结果常常带出关于公司业务的新观点、新结论Role of a credible model 可靠模型的作用542005

62、Deloitte Actuarial and Insurance Solutions (HK) Ltd.Simulation tool 模拟工具Tells you what would happen if you chose a different strategy 告知选择其它策略时将发生的情况Uncovers 揭示value drivers 价值驱动因素risk drivers 风险驱动因素Role of a credible model 可靠模型的作用552005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Requiremen

63、ts of the model 模型要求Ability to conduct a long term investigation 可以开展长期调查Ability to model complex liabilities of life offices 可以模拟寿险公司的复杂负债Including future new business 包括未来新业务Ability to model assets held by life offices 可以模拟寿险公司持有的资产Including future purchases 包括未来购买事宜Ability to model interactions b

64、etween assets and liabilities 可以模拟资产与负债之间的互动作用Ability to model management strategies 可以模拟管理策略Role of a credible model model requirements 可靠模型的作用 模型要求562005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Requirements of the model 模型要求Ability to model policyholder behaviour 可以模拟保单持有人行为Ability to

65、produce useful risk measures 可以用来计算风险衡量基准Ability to test a large number of strategies 可以测试大量策略Tried and tested 经过试验及测试Role of a credible model model requirements 可靠模型的作用 模型要求572005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Highly specialised models 高度专业的模型Not appropriate to shoehorn a mode

66、l from another industry 不可盲目套用其它行业的模型Life offices face with uniquely complex risks 寿险公司面临独特、复杂的风险Asset & liability projections for a life office require special calculations 寿险公司的资产及负债预测需要特别计算E.g. reserve calculation 如：储备金计算Role of a credible model model requirements 可靠模型的作用 模型要求582005 Deloitte Actu

67、arial and Insurance Solutions (HK) Ltd.Compromise between: 兼顾以下两项：Speed 速度Accuracy 准确性Speed 速度Need to be able to examine a large number of strategies within reasonable time. 需要可以在合理的时间内检查大量策略。Role of a credible model what makes a model credible? 可靠模型的作用 可靠模型的体现592005 Deloitte Actuarial and Insurance

68、 Solutions (HK) Ltd.Accuracy 准确性Liability results need to be consistent with existing system 负债结果需要与现有系统保持一致Asset results need to be consistent with existing system 资产结果需要与现有系统保持一致Management strategy needs to be reflected 需要反映出管理策略Company level calculations 公司级别计算Sum of individual asset results + su

69、m of individual liability results aggregate results 个别资产结果总计 + 个别负债结果总计 总计结果Role of a credible model what makes a model credible? 可靠模型的作用 可靠模型的体现602005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.How to strike this compromise? 如何做到兼顾？A model is a reflection of reality 模型是现实的反映Not possible to

70、 model every detail 不可能模拟每个细节What details to model? Pragmatism 模拟哪些细节？ 实用主义A sense of 涉及What is important 哪些方面是重要的What will make a difference 显示出区别的方面Role of a credible model what features should it have? 可靠模型的作用 应具备的特征612005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.What details to model?

71、 Pragmatism 模拟哪些细节？ 实用主义If a feature is significant, then it should be modelled 若一项特征非常重要，则应加以模拟Significant = leading to a different strategy being chosen 重要 = 致使选择不同的策略Which features are significant? This varies from company to company 哪些特征重要？因公司的不同而有所不同Role of a credible model what features should

72、 it have? 可靠模型的作用 应具备的特征622005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Model development requires a combination of experience from 模型开发需要融合以下人士的经验Actuaries 精算师Investment managers 投资经理Business managers 业务经理Role of a credible model what features should it have? 可靠模型的作用 应具备的特征632003 Firm Na

73、me/Legal EntityActuary as theALM manager.精算师担任资产负债经理.ALM Tools & Techniques - Robert Chen ALM 工具与技巧 Robert Chen2005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.ALM manager needs to 资产负债经理需要Understand the liabilities 了解负债Understand the assets 了解资产Understand how they interact 了解负债与资产之间的相互作用Und

74、erstand the corporate objectives 了解企业目标Understand how to communicate to and influence the management 了解如何与管理层沟通及影响他们Actuary as the ALM manager精算师担任资产负债经理652005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.ALM toolkit is all to do with 只需资产负债工具，即可做到Arranging assets to be appropriate to liabili

75、ties 调整资产，以适合负债Structuring liabilities so that they can be backed by assets 安排负债，以便找得到合适的资产Actuaries have always practiced ALM analysis 精算师非常熟悉资产负债分析Reserving: a form of economic capital assessment储备金：经济资本评估方式Actuary as the ALM manager精算师担任资产负债经理662005 Deloitte Actuarial and Insurance Solutions (HK)

76、 Ltd.Actuaries have unique expertise in 精算师拥有独特的专业知识，涉及Understanding of liabilities 了解负债Application of liability tools 应用负债工具Understanding of life office assets 了解寿险公司资产Application of some asset tools 应用资产工具Actuaries are expert at dealing with uncertain cash flows 精算师擅长处理不确定的现金流Actuaries are ideally

77、 placed as the ALM manager 精算师是担任资产负债经理的理想人选Actuary as the ALM manager 精算师担任资产负债经理672005 Deloitte Actuarial and Insurance Solutions (HK) Ltd.Robert ChenDeloitte Actuarial and Insurance SolutionsEmail: Tel: +852 2238 7246The Chinese version of these slides and other latest research can be found athttp:/ Deloitte Actuarial and Insurance Solutions (HK) Ltd.Firm Name/Legal Entity and Legal CopyMember ofDeloitte Touche Tohmatsu69