偿二代背景下我国寿险资金的最优投资组合研究

发布时间：2018-01-30 17:08

本文关键词： 偿二代寿险资金运用最优投资组合　出处：《浙江工商大学》2017年硕士论文　论文类型：学位论文

【摘要】：自2015年2月中国第二代偿付能力监管体系(以下简称“C-ROSS”或“偿二代”)试运行以来,17项监管规则同时发布,这标志着我国保险业偿付能力监管进入新的阶段。“偿一代”的监管制度下要求保险公司具备与业务规模相适应的偿付能力,而“偿二代”则是以风险为主要导向,设立全新偿付能力监管三支柱,除了定量监管要求的细化,新增了定性监管要求,并加强了市场约束机制。偿二代中对寿险公司的资产配置风险规定了新的监管指标要求,这无疑对寿险公司的投资结构会产生重大影响,亟需从理论上加以研究。论文主要包括以下几方面内容:第一,近年来我国保险业的资金运用总体情况。本文首先对我国保险行业自2007年至2016年的保费收入、资产规模和投资结构进行了统计梳理,从总体上对保险资金运用的现实情况进行了研究。由于本文的研究对象是寿险资金,所以对寿险公司历年来的资产运用情况进行了特别的研究。第二,偿二代的基本政策内容及其对投资的影响。在此部分本文对“偿二代”的主要内容进行了阐述,特别是其中有关投资资产的最低风险因子的相关规定,然后从理论上分析和归纳了它对保险资金运用将会产生的重要影响,主要的观点是不动产投资板块显著利好,大多数资产风险因子均有所提高。第三,最优投资组合模型的建立。本部分先阐述了研究最优投资组合时的常用经典模型:马克维茨均值-方差模型。然后结合我国保险监管的政策规定,包括“偿二代”和保险资金运用比例的监管政策,修改了经典模型中投资风险的约束条件,建立了适用我国寿险保险资金运用的最优投资组合模型。第四,计算结果及其分析。在建立模型和参数假设以后,利用Lingo软件对上述线性规划方程组进行了求解,得出的主要结论是当固定收益类资产投资45.8%,权益类资产投资30%,不动产类投资21.6%以及境外资产投资2.6%时可使寿险公司投资收益达到最大。并与偿二代正式运行以来实际寿险公司的投资情况比较,理应适当减小银行存款的投资,适当增加对各种债券、股票、证券投资基金和不动产的投资比例。第五,相关政策建议。在上述理论研究的基础上,本文提出了一些政策建议,目的是提出在偿二代政策下寿险公司应提高自身资产配置与风险管理的能力,在符合国家标准的情况下实现投资收益最大化。
[Abstract]:Since February 2015, China's second generation solvency supervision system (hereinafter referred to as "C-ROSS" or "compensation of the second generation") trial operation, there are 17 regulatory rules issued simultaneously. This marks a new stage in the regulation of the solvency of the insurance industry in China. Under the regulatory system of "compensation generation", insurance companies are required to have solvency commensurate with the scale of their business. The "compensation of the second generation" is to risk as the main guide, set up a new solvency supervision three pillars, in addition to quantitative regulatory requirements refinement, new qualitative regulatory requirements. And strengthen the market constraint mechanism. In the second generation, the asset allocation risk of the life insurance company set a new regulatory index requirements, which will undoubtedly have a significant impact on the investment structure of the life insurance company. The thesis mainly includes the following aspects: first. In recent years, the use of insurance funds in China's general situation. Firstly, the insurance industry in China from 2007 to 2016, the insurance premium income, asset size and investment structure were statistically combed. As the object of this paper is life insurance funds, so the use of assets of life insurance companies over the years has been a special study. Second. The basic policy content of the second generation and its influence on the investment. In this part, the main contents of the second generation are expounded, especially the relevant provisions about the minimum risk factor of the investment assets. Then from the theoretical analysis and induction of its use of insurance funds will have an important impact, the main point is that the real estate investment plate significantly good, most of the asset risk factors have improved. Third. The establishment of the optimal portfolio model. This part of the study of the optimal portfolio of classical models: Markowitz mean-variance model, and then combined with the policy provisions of China's insurance regulation. Including the "compensation of the second generation" and the proportion of insurance funds use of the regulatory policy, modified the classical model of investment risk constraints, established the life insurance fund for our country's optimal portfolio model. 4th. After establishing the model and parameter hypothesis, the above linear programming equations are solved by Lingo software. The main conclusion is that the fixed income asset investment is 45.8 percent, equity asset investment is 30%. Real estate investment of 21.6% and foreign assets investment of 2.6 can make the investment income of life insurance company to reach the maximum, and compare with the actual life insurance company investment situation since the second generation of formal operation. We should reduce the investment of bank deposits and increase the investment ratio of various bonds, stocks, securities investment funds and real estate. 5th, related policy recommendations. On the basis of the above theoretical research. This paper puts forward some policy suggestions, the purpose of which is to propose that life insurance companies should improve their ability of asset allocation and risk management under the second generation policy, and realize the maximization of investment income in accordance with national standards.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F842.62

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