中国财产保险公司资产负债管理研究

发布时间：2018-10-16 22:53

【摘要】：资产负债管理是保险公司的核心内容之一,其主要作用是协调资产和负债的相互关系,有效降低风险,提高企业价值。在国外,资产负债管理理论已经比较完善,资产负债管理技术不断丰富,在保险公司的经营管理实践中得到广泛应用,并取得了理想的效果。在我国,资产负债管理研究起步较晚,虽然通过与国际同行的交流和对我国保险业自身特点的深入研究,我国保险业资产负债管理的论著呈现出蓬勃发展的势头,研究范围不断扩大,研究方法不断创新；但从研究对象来看,更多集中于人寿保险、养老保险等长期险种业务的资产负债管理研究,财产保险的资产负债管理研究相对较少。近年来,我国财产保险行业快速发展,资产、负债规模不断扩大,但由于受国际国内经济形势、投资环境变化及保险产品费率市场化等因素的影响,财产保险公司保险业务和投资业务经营的不确定性和风险增加,客观要求财产保险公司重视资产负债管理,有效化解公司经营风险；与此同时,保监会同意财产保险公司有条件地经营投资型保险产品,也在一定程度上增加了财产保险公司资产负债管理的难度和复杂性。因此,本文的核心内容是构建适合财产保险公司业务特点的资产负债管理体系：一方面,该体系能实现财产保险公司进行资产负债管理的目的,有效管控公司整体风险,提升企业的长期价值；另一方面,将资产负债管理与会计准则相结合,在资产负债管理强调长期价值提升的同时,关注短期经营结果；通过长短期利益的有机结合,实现公司的平稳运行,实现企业价值最大化。本文以财产保险公司的资产负债管理为研究主线,采取了提出问题,分析问题和解决问题的研究思路；主要包括了引言、理论基础部分、业务特点探讨、资产负债管理实施、结论建议等五部分内容。第一部分为引言,主要阐述了研究背景、意义及国内外研究现状。随着业务的快速发展,资产和负债规模迅速扩大,财产保险公司对财务稳定性的要求不断增强；但针对财产保险资产负债管理的研究相对缺位,客观要求财产保险公司重视资产负债管理,通过研究完善理论及管理技术,降低公司经营风险,提升企业价值。第二部分是理论基础部分,即本文的第二章和第三章,包括了资产负债管理的基础理论、管理模式和主要技术。理论部分重点介绍了资产负债管理的相关理论,包括免疫理论、缺口理论、金融衍生工具理论、动态管理理论等。管理模式部分对目前比较流行的负债主导、资产主导和并行的资产负债管理模式进行了介绍和比较。资产负债管理技术部分,重点介绍了免疫技术、现金流匹配技术、现金流测试、在险价值(Value at Risk).动态财务分析。所有这些与资产负债管理相关的基础理论、技术,为全文的分析和探索奠定了理论基础。第三部分是业务特点探讨,即本文第四章、第五章和第六章,包括了财产保险公司的保险业务构成及特点、投资业务及监管要求,以及保险公司资产和负债的构成及计量。保险资产负债管理研究的重点是资产和负债的匹配问题,研究的出发点和归宿为保险资产和负债及其对资产负债管理的影响。财产保险公司负债主要由保险业务产生,其业务构成及负债的计量方式直接影响了负债的金额、期限以及对投资收益率的要求；资产主要表现为投资资产,资产的内部结构受投资监管影响,且与会计计量规则密切相关。因此,清楚财产保险公司的保险业务和投资业务的特点,以及资产、负债的构成和计量,为财产保险公司资产负债管理奠定了业务基础。第四部分是财产保险公司资产负债管理的实施,包括第七章和第八章的相关内容。该部分在理论介绍、业务特点和资产负债构成及计量研究的基础上,提出了财产保险公司资产负债管理体系的构建思路。该体系包括了决定公司资产负债管理方向的管理模式,影响投资风险及收益的投资管理模式,适合业务特点的资产负债管理技术及技术的具体运用。本文将动态财务分析作为财产保险公司的核心资产负债管理技术,对其业务操作流程、模型框架和主要变量的逻辑结构进行了重点介绍,并结合Dynamo3.0动态财务分析模型探讨了变量模型的构建问题。在此基础上,创造性地提出了短期会计报表结果和长期价值相结合的我国财产保险公司动态财务分析的管理流程；该流程结合了企业战略规划、预算管理以及资产负债管理的要求,能从基础变量出发得到公司决策相关的经营结果、偿付能力以及资产负债匹配的相关信息,有利于公司管理层科学决策。第五部分是结论与政策建议,即本文的第九章。这部分总结了全文的研究成果,并为推动财产保险公司资产负债管理的发展,从监管和企业自身角度提出了相关建议。监管方面的建议：一是建议监管部门牵头,建立较为完善的资产负债管理体系,并从制度上要求各保险主体完善公司治理结构,建立符合资产负债管理要求的组织架构和运行机制；二是继续扩大投资渠道和范围,并逐步放开投资比例限制,最终让保险公司根据自身情况自主配置资产。企业管理方面的建议：一是在公司偿付能力的管理过程中,引入资产负债管理技术,通过资产负债管理与偿付能力管理的配合,有效降低公司经营风险；二是在公司产品设计、销售和管理和投资决策过程中运用ALM技术,实现保险和投资的良性互动；三是建立公司内部的有效协调机制,形成公司领导重视,相关部门参与的运行机制,积极发挥资产负债管理在企业风险管理、价值提升方面的作用。
[Abstract]:Asset-liability management is one of the core contents of insurance company. Its main function is to coordinate the relationship between assets and liabilities, effectively reduce risk and improve enterprise value. In foreign countries, the theory of asset-liability management has been improved, asset-liability management technology is constantly enriched, it has been widely used in the practice of insurance company's management and management, and has achieved the ideal effect. In our country, the research of asset-liability management has started relatively late, although through in-depth study on the characteristics of China's insurance industry through the exchange of international peers and the characteristics of China's insurance industry, the thesis of the asset-liability management of our country shows the momentum of vigorous development, the research scope expands unceasingly, the research method is continuous innovation; From the research object, however, more focused on the asset-liability management research of long-term insurance business, such as life insurance, endowment insurance and so on, the asset-liability management research of property insurance is relatively small. In recent years, China's property insurance industry has developed rapidly, assets and liabilities have been expanding continuously, but due to the influence of the international domestic economic situation, the change of investment environment and the marketization of insurance products rate, The uncertainty and risk of insurance business and investment business operation of property insurance company increases objectively. The property insurance company is required to attach importance to asset liability management and effectively solve the business risk of the company. At the same time, it agrees with the property insurance company to operate the investment-type insurance products conditionally. It also increases the difficulty and complexity of asset-liability management of property insurance companies. Therefore, the core content of this paper is to construct the asset liability management system suitable for the business characteristics of property insurance company: on the one hand, the system can realize the purpose of asset liability management of property insurance company, effectively control the whole risk of the company, improve the long-term value of the enterprise; on the other hand, Combining asset-liability management with accounting standards, focusing on short-term management results while emphasizing long-term value promotion in asset-liability management; realizing smooth operation of the company through organically combining long-term benefits, and maximizing enterprise value. This paper takes the asset liability management of property insurance company as the main line of research, and takes the research thought of raising questions, analyzing problems and solving problems. It mainly includes five parts: introduction, theory base, business characteristic, implementation of asset and liability management, conclusion suggestion, etc. The first part is the introduction, which mainly expounds the research background, significance and domestic With the rapid development of the business, the scale of assets and liabilities expands rapidly, the demand of property insurance companies to financial stability is constantly strengthened, but the research on property insurance liability management is relatively vacant, and the property insurance company is required to pay attention to the capital. To reduce the business risk of the company by studying and perfecting the theory and management technology. The second part is the theoretical foundation, that is, the second chapter and the third chapter of this paper, including the basic theory of asset liability management, the pipe The theory part mainly introduces the related theories of asset liability management, including the theory of immune theory, gap theory and financial derivative instruments. Dynamic management theory and so on. The management mode part is the current liability-led, asset-dominated and parallel asset-liability management mode. Introduction and comparison are made. Part of asset liability management technology focuses on immunization technology, cash flow matching technology, cash flow test, and value (Valu). e at Risk). Dynamic financial analysis. All the basic theories and techniques related to asset-liability management are the full-text analysis and exploration. The third part is the discussion of the business characteristics, namely, Chapter 4, Chapter 5 and Chapter 6, which include the insurance business structure and characteristics of the property insurance company, the investment business and the regulatory requirements, and the insurance company. The composition and measurement of assets and liabilities. The focus of insurance asset-liability management research is the matching of assets and liabilities. The starting point and end-result of the study are insurance assets and liabilities. The liability of property insurance company is mainly generated by insurance business, its business structure and measurement mode of liability directly affect the amount, time limit and demand for investment return; assets are mainly represented as investment assets and assets. The internal structure is affected by investment supervision, and It is closely related to accounting metering rules. Therefore, it is clear that the characteristics of insurance business and investment business of property insurance company, as well as the composition and measurement of assets and liabilities, are assets of property insurance company. The fourth part is the implementation of asset liability management of property insurance company. This part, based on the theory introduction, the business characteristics and the composition of assets and liabilities and the measurement research, puts forward the property insurance public The construction method of the division's asset liability management system. The system includes the management mode that determines the management direction of the assets and liabilities of the company, the investment management mode that influences the investment risk and the income, and the assets suitable for the business characteristics. The paper introduces the dynamic financial analysis as the core asset liability management technology of property insurance company, introduces the logic structure of its business operation flow, model frame and main variable, and combines the dynamic financial analysis of Video3. 0. On the basis of this, a management flow of dynamic financial analysis of Chinese property insurance company combining short-term financial statement results and long-term value is creatively put forward. The requirements of management and asset-liability management can be obtained from basic variables, and relevant letter of business result, solvency and asset-liability matching of company decision-making can be obtained. Interest rate is conducive to the scientific decision-making of the management of the company. It is the conclusion and policy suggestion, that is, chapter 9 of this article. This part summarizes the research results of the whole thesis and promotes the development of asset liability management of property insurance company. It puts forward relevant suggestions from the angle of supervision and enterprise itself. Suggestions on supervision: One is to recommend the supervision department to take the lead, establish a perfect asset-liability management system, and ask each insurance entity to perfect the corporate governance structure from the system, and establish the conformity. The organizational structure and operating mechanism required for debt-producing management; two are to continue to expand the investment channel and scope, and gradually release the investment proportion limit, and finally, let the insurance company independently configure the assets according to its own situation. Suggestions on enterprise management: First, in the process of management of the company's solvency, introduce the asset-liability management technology, and through the coordination of asset-liability management and solvency management, effectively reduce in that proces of product design, sales and management and investment decision of the company, the ALM technology is applied to realize the benign interaction of insurance and investment; and III is an effective coordination mechanism within the company, which forms the operational mechanism of the company's leadership and the participation of relevant departments. To play an active role in asset-liability management
【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F842.3;F840.4

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