Abstract: In order to prevent the risk of asset liability mismatch, the Regulatory Rules for Insurance Asset Liability Management (No. 1-5) (hereinafter referred to as the Asset Liability Rules) has been officially implemented since 2018, asset liability matching becomes a factor that must be considered in asset allocation. Taking the simplified participating insurance accounts as the research object, this paper constructs an asset liability management model by employing a multi-objective stochastic programming, especially adding the requirements of the asset Liability Rules on the asset liability matching. Through numerical simulation, it analyzes the impact before and after the implementation of the Asset Liability Rules on the operation and asset allocation decision of insurance companies. The findings show that, firstly, the constructed model can reflect the impact of external constraints such as corporate internal operation and management objectives, solvency and asset liability matching on asset allocation decisions, and thatunder the current asset liability management and supervision system insurance companies prefer to increase their investments in fixed income assets when allocating assets.Secondly, the Asset Liability Rules does not constitute a strong constraint on asset allocation, the differences in the liability characteristics and in the requirements for the matching degree will lead to larger differences in the asset allocation structure. Thirdly, the duration gap has been significantly narrowed after the implementation of the Asset Liability Rules, but it does not necessarily to reduce the return on investment of the portfolio.

Key words: insurance supervision, asset liability management, asset allocation