阅读材料:
4.1 CIA Educational Note “Measurement of Exposure to Interest Rate Risk,” by Subcommittee on C-3 Risk, Committee on Investment Practice, June 1995
4.2 H. H. Panjer (editor) 1998. Financial Economics: With Applications to Investments, Insurance and Pensions. The Actuarial Foundation. Sections 3.1 to 3.9, and 3.11.
4.3 Ang and Sherris 1997 “Interest rate risk management: Developments in interest rate term structure modeling for risk management and valuation of interest-rate-dependent cash flows” North American Actuarial Journal Vol 1 No. 2, pages 1-26.
4.4 R.S. Hiller and C. Schaack, “A Classification of Structured Bond Portfolio Modeling Techniques”, Journal of Portfolio Management, Fall 1990, pages 37 to 48.
4.5 M. Smink1994. “A numerical examination of asset-liability management strategies,” Proceedings of 4th Actuarial Approach for Financial Risks (AFIR) International Colloquium. 8V-306-00 (Translation need to be done carefully, as there are many misprints.)
五、 案例分析
考试要求:要求考生在掌握以上资产负债管理的基本原理的基础上,通过对一个资产负债管理案例的学习,了解具体的资产负债管理实践活动的主要内容,并全面的理解资产负债管理相关原则和方法的具体应用。
考试内容:
阅读材料:
5.1 SOA Course 8 Investments Case Study “LifeCo” by Gilbert, Kolitsko, Lemay, Macklem, Tilley and Drzal, 8V-13-01
六、资产负债管理在中国的应用
根据寿险业务的特殊性及中国寿险业的现实状况,这部分考虑中国寿险业资产负债管理的可能模式和相应的数量模型,以及该模式下资产负债管理体系的构建及模式运作的基础、技术和实践。同时这部分要求考生了解中国寿险业资产负债管理的发展趋势以及中国寿险业所必须进行的变革和应该作好的准备。
6.1 中国寿险业资产负债管理模式分析
6.2 中国寿险业资产负债管理模式运行分析
6.3 中国寿险业资产负债管理发展趋势分析
阅读材料:
6.1 李秀芳 中国寿险业资产负债,中国社会科学出版社 2002.11, 第四章至第六章
七、其它参考资料
以下所列为该课程的阅读参考资料,并不在考试要求的材料范围内,但是对考生准备考试有一定帮助。
7.1 北美精算协会(Society of Actuaries)资产负债管理工作小组(ALM Task Force)在其网页上发布的各类文件
7.2 J.A. Attwood and C.R. Ohman, “Segmentation of insurance company general accounts,” TSA XXXV (1983)
7.3 J.A. Tilley, “The matching of assets and liabilities,” TSA XXXII (1980)
7.4 S. Feldblum, 1989 “Asset-Liability Matching for Property/Casualty Insurers,” pp. 117-154 in Valuation Issues, Casualty Actuarial Society Discussion Paper Program.
7.5 “Dynamic financial models of property-casualty insurers” by the Dynamic financial Analysis Committee of the Casualty Actuarial Society, January 2000 (SOA 6F-403-01)
7.6 Dynamic Financial Condition Analysis Handbook: Chapter 1 “Update” January 1997, and Appendix A (SOA 6F-400-00)
7.7 Lawrence Galitz, Financial Engineering: Tools and Techniques to Manage Financial Risk, Pitman Publishing (Revised Edition 1995)
7.8 Anthony Saunders, “Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms”, John Wiley & Sons 1999
7.9 Hodes, Douglas M., Tony Neghaiwi, J. David Cummins, Richard Phillips, and Sholom Feldblum, “The Financial Modeling of Property-Casualty Insurance Companies," Casualty Actuarial Society Forum (Spring 1996), pp. 3-88