战略资产配置在我国中小寿险公司的应用研究

发布时间：2018-07-09 22:18

本文选题：中小寿险公司 + 战略资产配置　；参考：《西南财经大学》2014年硕士论文

【摘要】：本论文的主要研究对象是战略资产配置(Strategic Asset Allocation,简称sAA)在我国中小寿险公司的应用。论文主要解决的问题有两个：一个是为什么我国中小寿险公司需要进行战略资产配置；另一个是在目前的内外部环境下,我国中小寿险公司如何构建在资产负债管理视角下的战略资产配置体系。对于第一个问题,论文首先对中小寿险公司进行定义,以总资产和市场份额为主要划型标准,确定哪些公司属于中小寿险公司的范畴。再对战略资产配置理论和模型进行梳理和总结。在此基础上,搜集大量数据分析我国中小寿险公司的资产配置现状,由此得出我国中小寿险公司进行战略资产配置的必要性。并且以国内某家中小寿险公司为例,实际分析其应用战略资产配置的过程。对于第二个问题,论文基于资产负债管理理论从资产负债两个方面分析战略资产配置过程,重点分析这两方面分别需要考虑的内容及应用中涉及的主要参数。最后,提出我国中小寿险公司在进行战略资产配置决策时可参考的流程。论文总共分为四个章节。第一章主要是讨论本人的选题背景和国内外关于资产配置的文献综述。论文首先关注到我国寿险业在取得飞速发展的同时却缺乏良好的投资收益。尤其是我国的中小寿险公司,在竞争日益激烈的环境下,想要提高自身投资收益并取得长远发展,更加需要重视保险资金的投资问题。而取得良好投资收益的关键是制定正确而适合的战略资产配置策略。其次,论文对国内外资产配置相关研究进行总结,发现目前学术界对于战略资产配置的研究还比较少。目前主要的研究切入点在于构建模型求解最优资产配置和比较不同资产配置策略对资金投资绩效的贡献度。但是这些研究主要集中在证券基金或养老金上,比较少关注到寿险公司的资产配置上,而对于中小寿险公司的资产配置研究就更加少。因此,本文提出对中小寿险公司的战略资产配置进行研究是具有理论与实践意义的。第二章主要对中小寿险公司的范畴和战略资产配置策略进行概括性分析。由于目前保监会还没有给出官方的关于寿险企业的划型标准,论文在参考其他行业对于中小型企业定义的基础上,以总资产规模和市场份额为主要划型标准对我国寿险公司进行归类,得出中小寿险公司的范围。本文得出的中小寿险公司的标准是：资产总额占比4%以下、保费收入占比5%以下且资产总额在100亿元以上的寿险公司划分为中小型寿险公司。在第二节中,论文基于已划分的中小寿险公司,提出这些中小寿险公司相对于大型寿险公司所具有的7大特点：市场份额的差异、经营成本的差异、渠道与产品结构的差异、经营管理的差异、知名度的差异、产品开发与资金投资的差异和投资能力的差异。在第三节中,论文对战略资产配置的定义进行简单的描述。并重点介绍了6大战略资产配置模型：基于MV理论的战略资产配置模型、基于LPM理论的战略资产配置模型、基于“安全第一”投资组合理论的战略资产配置模型、基于VaR理论的战略资产配置模型、基于SP/A理论的战略资产配置模型和基于行为组合理论的战略资产配置模型。。第三章是全文的重点章节,主要研究我国中小寿险公司资产配置的实际情况。第一节从投资资产、投资收益和组织架构三个方面分析我国中小寿险公司的资产配置现状。得出我国中小寿险公司的投资收益并不理想的结论,且投资渠道较为狭窄,主要投资于债权股权和定期存款,投资较为稳健。第二节从寿险产品结构、投资资产结构和系统的战略资产配置体系三个方面分析我国中小寿险公司资产配置存在的问题。第三节应用简单的投资组合模拟方法,设置3组不同配置比例的投资组合,并对随机选取的一家中小寿险公司近几年的投资收益进行战略资产配置后的累计收益对比,得出战略资产配置对投资收益有重要影响的结论。因此,中小寿险公司有必要进行战略资产配置。第四节以国内某家中小寿险公司为例,对战略资产配置的应用过程进行系统性说明。文章从该公司的负债特点出发,将产品线细分为四大项目。针对每个细分项目进行不同的战略资产配置安排,在综合考虑公司资本要求、偿付能力、流动性和风险偏好等因素的基础上,利用软件计算得到四个细分项目的最优战略资产配置比例。第四章是在前文分析的基础上,对于中小寿险公司如何应用战略资产配置提出建议。第一节对中小寿险公司可以选择进行战略资产配置的模式进行比较。第二节建议中小寿险公司成立资产负债管理部门。首先,建议中小寿险公司选择适宜的战略资产配置方法,并分析该部门所要满足的要求。接着,从两方面分析构建战略资产配置需要考虑的原则和因素。一方面是资产,中小寿险公司需要考虑可投资的资产类别,关注选择投资资产类别时需要遵循的原则。再给出是否在战略资产配置策略中加入新的资产类别的评价标准。另一方面是负债,中小寿险公司在分析公司业务特点的基础上,对自有产品线进行项目细分。每个细分项目拥有自己的收益目标、风险参数和流动性特点。并从资产和负债两方面对战略资产配置模型涉及的主要参数进行介绍。最后将中小寿险公司的战略资产配置流程进行细化说明,为中小寿险公司未来应用战略资产配置提供理论的支持。本文采用的研究方法有定性与定量相结合、比较分析和案例分析等。本文的创新之处在于研究我国中小寿险公司战略资产配置的实际应用问题,并且提出基于资产负债管理的视角构建战略资产配置体系。
[Abstract]:The main object of this paper is the application of Strategic Asset Allocation (sAA) in China's small and medium life insurance companies. There are two main problems to be solved in this paper: one is why the small and medium life insurance companies in China need to carry out strategic asset allocation; the other is in the current internal and external environment, China's medium and small life How to construct the strategic asset allocation system in the perspective of asset liability management. For the first question, the paper first defines the small and medium life insurance companies, and takes the total assets and market share as the main criteria to determine which companies belong to the category of small and medium life insurance companies. Then the theory and model of strategic asset allocation are combed. On this basis, a large number of data are collected to analyze the status quo of the asset allocation of small and medium life insurance companies in China, thus the necessity of the strategic asset allocation of small and medium life insurance companies in China is drawn. And the process of the strategic asset allocation is analyzed by a small and medium life insurance company in China. The paper is based on the second problems. The asset liability management theory analyzes the process of strategic asset allocation from two aspects of assets and liabilities, focusing on the contents of the two aspects and the main parameters involved in the application. Finally, it puts forward the process of reference for the small and medium life insurance companies in the strategic asset allocation decision in China.
The thesis is divided into four chapters.
The first chapter is to discuss the background of my topic and the literature review on asset allocation at home and abroad. First of all, the thesis is concerned with the rapid development of China's life insurance industry but lack of good investment income, especially in China's small and medium life insurance companies, in the increasingly competitive environment, they want to improve their own investment returns and obtain the benefits. In the long run, we need to pay more attention to the investment of insurance funds. The key to achieving good investment income is to make a correct and suitable strategic asset allocation strategy. Secondly, the thesis summarizes the related research on asset allocation at home and abroad, and finds that there are few studies on the allocation of strategic assets at present. The main research is at present. The breakthrough point is to build the model to solve the optimal asset allocation and to compare the contribution degree of different asset allocation strategies to the performance of capital investment. However, these studies mainly focus on the securities fund or pension fund, less attention to the asset allocation of life insurance companies, and less research on the allocation of asset allocation for small and medium life insurance companies. It is of theoretical and practical significance to study the strategic asset allocation of small and medium life insurance companies.
The second chapter mainly analyzes the category and strategic asset allocation strategy of small and medium-sized life insurance companies. Since the CIRC has not yet given the official criteria for the planning of the life insurance companies, the paper is based on the definition of small and medium enterprises in other industries, and is based on the scale of the total capital and market share as the main classification standard. In this paper, the standard of small and medium life insurance companies is divided into small and medium life insurance companies with total assets of less than 4%, premium income less than 5% and the total assets of more than 10 billion yuan are divided into small and medium life insurance companies. In the second section, the paper is based on the divided medium and small life insurance. The company has put forward 7 characteristics of the small and medium life insurance companies relative to the large life insurance companies: the difference in market share, the difference of operating cost, the difference of channel and product structure, the difference of management and management, the difference of popularity, the difference of product development and capital investment and the difference of investment ability. In the third section, the thesis is the strategy. The definition of asset allocation is briefly described, and 6 strategic asset allocation models are mainly introduced: strategic asset allocation model based on MV theory, strategic asset allocation model based on LPM theory, strategic asset allocation model based on the "safety first" portfolio theory, strategic asset allocation model based on VaR theory, and SP/ based on the strategic asset allocation model. The strategic asset allocation model of A theory and the strategic asset allocation model based on behavioral portfolio theory.
The third chapter is the key chapter of the full text. It mainly studies the actual situation of the asset allocation of small and medium life insurance companies in China. The first section analyses the status of the asset allocation of small and medium life insurance companies in China from three aspects of investment assets, investment income and organizational structure, and draws a conclusion that the investment income of small and medium life insurance companies in China is not ideal, and the investment channels are more than that. For the narrow, mainly investment in creditor's rights and regular deposits, investment is more robust. The second section from the structure of life insurance products, investment assets structure and the system of strategic asset allocation system in three aspects of China's small and medium life insurance companies to analyze the problem of asset allocation. The third section applies a simple method of investment portfolio simulation, set up 3 different configurations of the configuration The proportion of investment portfolio and the cumulative income comparison of the strategic asset allocation of a randomly selected small and medium-sized life insurance company in recent years, the conclusion is that the strategic asset allocation has an important impact on the investment income. Therefore, the small and medium life insurance companies are necessary to carry out the strategic asset allocation. The fourth section is based on a domestic medium and small life insurance. As an example, a systematic description of the application process of strategic asset allocation is made. From the liability characteristics of the company, the article subdivides the product line into four major projects. Different strategic asset allocation arrangements are carried out for each subdivision project, and the basis of the company's capital requirements, payment capacity, liquidity and risk preference are taken into consideration. The optimal strategic asset allocation ratio of four sub projects is calculated by software.
The fourth chapter, on the basis of the previous analysis, puts forward some suggestions on how to apply the strategic asset allocation to small and medium life insurance companies. The first section compares the mode of selecting the strategic asset allocation for small and medium life insurance companies. The second section suggests that the small and medium-sized life insurance companies establish the asset liability management department. The strategic asset allocation method is suitable and the requirements of the Department are analyzed. Then, the principles and factors that need to be taken into consideration are analyzed from two aspects. On the one hand, the assets, the small and medium life insurance companies need to consider the types of assets to be invested, and pay attention to the principles to be followed when choosing the category of investment assets. The strategic asset allocation strategy is added to the new asset class evaluation criteria. On the other hand, the medium and small life insurance companies are subdividing their own product lines on the basis of the analysis of the company's business characteristics. Each subdivision has its own profit goals, risk parameters and liquidity characteristics. And the two aspects of the assets and liabilities are against the war. The main parameters involved in the strategic asset allocation model are introduced. Finally, the strategic asset allocation process of small and medium life insurance companies is refined to provide theoretical support for the future application of strategic asset allocation for small and medium-sized life insurance companies.
The research methods adopted in this paper include qualitative and quantitative analysis, comparative analysis and case analysis.
The innovation of this paper is to study the practical application of strategic asset allocation for small and medium life insurance companies in China, and to build a strategic asset allocation system based on the perspective of asset liability management.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842.3;F840.4

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