In this paper, we devise a stochastic asset–liability management (ALM) model for a life insurance company and analyze its influence on the balance sheet within a low-interest rate environment. In particular, a flexible procedure for the generation of insurers’ compressed contract portfolios that respects the given biometric structure is presented, extending the existing literature on stochastic ALM modeling. The introduced balance sheet model is in line with the principles of double-entry bookkeeping as required in accounting. We further focus on the incorporation of new business, i.e. the addition of newly concluded contracts and thus of insured in each period. Efficient simulations are obtained by integrating new policies into existing cohorts according to contract-related criteria. We provide new results on the consistency of the balance sheet equations. In extensive simulation studies for different scenarios regarding the business form of today’s life insurers, we utilize these to analyze the long-term behavior and the stability of the components of the balance sheet for different asset–liability approaches. Finally, we investigate the robustness of two prominent investment strategies against crashes in the capital markets, which lead to extreme liquidity shocks and thus threaten the insurer’s financial health.

在本文中，我们为一家人寿保险公司设计了一个随机资产负债管理 (ALM) 模型，并分析了其在低利率环境下对资产负债表的影响。特别是，提出了一种灵活的程序，用于生成尊重给定生物特征结构的保险公司压缩合同组合，扩展了现有的随机 ALM 建模文献。引入的资产负债表模型符合会计上复式记账的原则。我们进一步关注新业务的纳入，即在每个时期增加新签订的合同，从而增加被保险人。通过根据合同相关标准将新政策整合到现有队列中，可以获得有效的模拟。我们提供了关于资产负债表方程一致性的新结果。在针对当今人寿保险公司业务形式的不同情景的广泛模拟研究中，我们利用这些模拟分析不同资产负债方法的资产负债表组成部分的长期行为和稳定性。最后，我们调查了针对资本市场崩盘的两种主要投资策略的稳健性，这会导致极端的流动性冲击，从而威胁到保险公司的财务健康。