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西红柿面 · 2025年04月23日

LDI为什么也适用于保险公司呢?

* 问题详情,请 查看题干

NO.PZ202206210200000102

问题如下:

Is Browne most likely correct in her discussion of investment approaches?

选项:

A.Yes B.No, she is incorrect regarding the Canadian model. C.No, she is incorrect regarding the liability-driven investing model.

解释:

Solution

B is correct. The Canadian model does entail a large allocation to alternatives, which can be value enhancing for institutions with long-term horizons and low liquidity needs; however, it requires these institutions to develop the expertise to manage alternative investments in house. Small institutional investors do not have the scale to hire or develop this expertise. Further, Chattahoochee provides investment management for clients and would be unlikely to recommend an approach that leads the client to manage assets in house.

A is incorrect. She is incorrect regarding the Canadian model.

C is incorrect. She is correct that defined benefit pension plans and insurance companies, which focus on generating returns sufficient to pay liabilities, are well suited to using the liability-driven investing model.

LDI为什么也适用于保险公司呢?保险公司难道不应该用最全的最复杂的那种方式吗?

1 个答案

Lucky_品职助教 · 2025年04月24日

嗨,努力学习的PZer你好:


LDI模型适用于保险公司,是因为保险公司存在长期且相对可预测的负债义务,如保险理赔和福利支付等,LDI 模型能够将资产的现金流和期限与这些负债状况进行匹配,像人寿保险公司的长期负债可通过投资长期债券等固定收益证券来匹配预期的理赔支付流出,降低资产与负债不匹配的风险,保证公司有足够资金履行义务。

同时,保险公司面临多种风险,LDI 模型包含应对这些风险的管理技术,例如利用对利率敏感的资产和衍生品对冲利率波动对负债的影响,稳定公司财务状况并保护偿付能力。

另外,保险行业监管严格,LDI 模型有助于保险公司证明自身在有效管理风险,有合理计划满足未来义务,从而更好地遵守监管要求,避免处罚或监管干预。

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努力的时光都是限量版,加油!

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