Research on asset-liability management model of China insurance companies

In this paper, asset-liability management model of China insurance companies is brought forward. Model´s objective function is to maximize risk adjusted income, which not only considers the absolute income of insurance and investment business, but also the cost of risk capital occupied. In developing model´s constraints, the business and regulatory characteristic of China insurance companies is considered entirely. Case study of a life insurance company is carried out to simulate the asset-liability management. The asset-allocation strategy is reached, also the influence of solvency rate on allocation is discussed.