Abstract: This paper introduced insurance products with different period of premium payment, established a dynamic asset-liability management model based on multi-stage stochastic programming, which takes the present value of expected profits of life insurance companies as the optimization objective, and takes the sales ratio of insurance products with different period of premium payment, the invest ratio of stock funds and fixed-term bonds as decision variables. Empirical results show that fixed-term bonds, as the main investment varieties of life insurance companies, maintain a high invest ratio, while the invest ratio of stock funds is greatly affected by the stock market prosperity; interim payment products are the main selling force of life insurance companies' products, while wholesale products are more affected by the stock market prosperity; compared with the rate of return of stock funds, the present value of expected profit is more sensitive to the changes of interest rate in the fixed-term bond market; the change of the sell ratio of stock funds affects the asset allocation and product sell decision-making at the same time, life insurance companies should take the initiative to strengthen the flexibility of stock asset allocation.

Key words: life insurance company, asset liability management, multi-stage stochastic programming, premium payment term structure