On the morning of December 2, 2017, the“Frontiers ofActuarialTheory andPracticalApplications”forum was heldin Room 706,Academic Hallof CUFE.China Institute forActuarial Science (CIAS)invitedProfessor Li Bingqing of School of FinanceofNankaiUniversity and his Ph.D. student Chen Lu, Guo ShijieofZhongrong Life Insurance Company,Gao Lei ofTaikang AssetManagementCompany,andLiao Pu ofCIAS to present “Loss risk management: perspectives from corporate finance”, “Issues facing the development of life insurance”, “The impact of investment return on embedded value and margin”, and other topics.Someactuarialworkersand graduate students participated in thisconference.
Professor Li Bingqing and Ph.D.ChenLushowcasedtheirlatest research result on “Loss risk management: perspectives from corporate finance”. Theyfirst provided a synthesis on the results established by the previous scholars, with particular focus on volatility risk. After introduced the relevance and importance of the topic,theypresented a loss risk management model using the jump-diffusion model. In their presentation, theydescribeda theoretical framework to analyze the relationship between jump risk management and firm value, and explored the effects of option-based risk management toolson corporate value, optimal risk management strategies, capital structure and agency conflicts.Through numerical methods, they obtained a series of valuable conclusions. For example,lossrisk management (or jump riskmanagement) increasesfirm value;when the loss risk is small, risk managementraisesoptimal leverage, and vice versa.
From Zhongrong Life Insurance Company, Guo Shijieraised several issues, driven by the liabilities and assets, on the development life insurance company and the future industry prospect. Fromthe liability side, he mainly focused on the capital swaps triggered by life and death, downstream debt management, social stabilizers, and others. From the asset side, his analysis focused onoptimizing resource allocation, serving real economy, developing boosters, and other aspects.Then hespecificallydiscussed several issues includingdividend insurance,product homogenization,individual sale agent, corporate-level strategyvs. customer needs.Finally he also made constructive policy recommendations on areas such as industry adjustment and insurance supervision, etc..
After that,Gao Leiof TaikangAsset reportedthe impact of investment income on embedded value and residual margin.He first analyzed the impact of theinvestment return rate,risk discount rate and the reservevaluationdiscount rateonembedded value. In addition, heanalyzed accounting profitsand believed that profit in the life insurance businessmainly camefromreleasingastable residual margin. The higher the investment returnrate,the greater the residual marginis.However,the deviationofthe investmentreturn has no effect on the residual margin.
Finally,Professor Liao Pu analyzedthe impact of the pension insurance system onresidents’welfare. Based on the characteristics of the residents and the structureofpopulation,he established a model associated withindividual cash flow and wealth accumulationprocessunder the pension insurance system. He then introduceda variety ofinsurance products andintegratedthem to the model. By applying value analysis, hedrewthe conclusions thatthe pension insurance system improvesindividual welfareandthe improvement of individual welfare under thepoolingaccount is better than thatforindividual accounts.
In the process of theconference, the audienceshad detailed discussionswith the reporters. Everyonereceiveda deeper understanding of the diffusion model andfrankly exchange views aboutthe development of the life insurance industry.
