基于资产负债管理的保险资金运用的实证研究

发布时间：2018-06-12 09:48

本文选题：保险资金投资 + 资产负债匹配管理　；参考：《上海交通大学》2014年硕士论文

【摘要】：近十年来中国保险业发展迅速，保费收入和保险资金运用规模大幅增长。但产品同质化、费率市场化、资本市场波动加剧等诸多挑战使得保险行业的竞争也日益激烈。如何在全面风险管理框架下进行有效的资产负债管理，，是中国保险企业在当前及未来统筹平衡多重战略目标的有效手段，也是实现中国保险业价值持续增长的基本要求。保险企业所从事的业务主要有两种类型，一种是保险（承保）业务，属于保险公司的负债业务；另一种是投资业务，属于保险公司的资产业务。由于负债经营的特性，一方面，保险公司需要根据历史经验和对市场、目标客户的预期设计合适的产品、确定保单期限长短、保费高低。在获取保费收入后通过对资产进行合理配置和投资，确保投资收益使公司有足够的偿付资金、能提供稳定的收益和充足的现金流。另一方面，保险企业的承保能力（负债水平）要与其资产实力相当。保费规模的扩张对应着偿付能力要求的增加，过度的拓展业务将导致经营风险提高，资金流动性不足，进而影响公司获利能力，因此保险公司必须确定其承担风险的能力，将承保风险控制在可承受的范围之内。本文从理论和实证两个方面对我国保险资金的资产配置策略进行了研究与分析。一方面，从战略资产配置层面出发，根据我国保险行业的实际情况，在现有理论模型的基础上，提出了加入风险偏好系数（承保收益率）的优化模型；另一方面，从战术资产配置层面出发，分析了近年来各大类资产在中国经济周期不同阶段的表现，并将结果与美林投资时钟模型对比分析。通过实证研究，验证了模型的有效性，并得出有实际应用价值的结论。最后,根据研究结果，结合我国保险资金运用和金融市场的发展现状，提出对保险资产配置的建议。
[Abstract]:China's insurance industry has developed rapidly in the past ten years, with a sharp increase in premium income and use of insurance funds. But many challenges, such as homogenization of products, marketization of rates and aggravation of capital market fluctuation, make the competition of insurance industry increasingly fierce. How to manage assets and liabilities effectively under the framework of comprehensive risk management is an effective means for Chinese insurance companies to balance and balance multiple strategic objectives at present and in the future. It is also the basic requirement for the sustained growth of the value of the insurance industry in China. There are mainly two types of business engaged in by insurance enterprises, one is insurance (underwriting) business, which belongs to the liability business of insurance companies; the other is investment business. An asset business belonging to an insurance company. Because of the characteristics of liability management, on the one hand, insurance companies need to design appropriate products according to historical experience and expectations of the market and target customers to determine the length of the policy period and the level of insurance premium. After obtaining the premium income, we can make sure that the investment income can make the company have enough repayment capital and provide stable income and sufficient cash flow through the rational allocation and investment of the assets. On the other hand, the insurance company's underwriting capacity (debt level) should be equal to its asset strength. The expansion of premium scale corresponds to the increase of solvency requirement. The excessive expansion of business will lead to the increase of operating risk and the lack of liquidity, which will affect the profitability of the company. Therefore, the insurance company must determine its ability to bear the risk. This paper studies and analyzes the asset allocation strategy of insurance fund in China from the theoretical and empirical aspects. On the one hand, from the strategic asset allocation level, according to the actual situation of China's insurance industry, on the basis of the existing theoretical models, put forward the risk preference coefficient (underwriting rate of return) optimization model; on the other hand, From the aspect of tactical asset allocation, this paper analyzes the performance of various types of assets in different stages of the Chinese economic cycle in recent years, and compares the results with the Merrill Lynch investment clock model. Through empirical research, the validity of the model is verified, and the conclusion of practical application value is obtained. Finally, according to the research results, combined with the application of insurance funds and the development of the financial market in China, some suggestions on the allocation of insurance assets are put forward.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842.3;F840.4

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