中国保险资金投资资本市场的风险研究
发布时间：2019-01-11 11:41
【摘要】：伴随着资本市场快速良好的发展,保险市场也呈现欣喜的一面:保费收入持续增长、保险资金投资渠道多元化、保险资金投资比例上升。现阶段保险资金投资于资本市场,一方面拓展了投资渠道,另一方面大量资金的注入也活跃了资本市场。然而,保险公司也面临着来自于资本市场的不确定外部风险,在保险资金投资资本市场的过程中,如何对这些风险进行风险管理与控制,实现其投资资金的安全性与收益性,这是一个很重要的问题,同时也是本文的研究方向。本文首先介绍了保险资金投资相关理论。具体包括如下:投资组合理论、风险管理理论、保险市场与资本市场的互动理论。接着运用对比的方法对我国保险资金投资现状及问题进行了分析。其中以美国、英国和日本为例,介绍了国外保险资金投资的现状及经验借鉴,重点介绍了我国保险资金投资过程中面临的风险。其次,运用VaR和投资组合模型进行实证研究,期望求出最优投资组合比例。本部分是全文的重中之重。采用国际上流行的VaR方法对保险资金投资风险进行测算。采用案例分析的方法和实证研究的方法,对平安保险公司进行了投资组合最优化的实证研究。最后,根据前面的理论铺垫与实证分析,提出构建保险公司内外部风险管控体系,并创新性的提出搭建两市场可能的互动模式。这也是实现保险资金投资资本市场风险管理的有益举措。
[Abstract]:With the rapid and good development of the capital market, the insurance market also presents the happy side: the insurance premium income continues to increase, the insurance fund investment channel is diversified, the insurance fund investment proportion rises. At present, insurance funds invest in the capital market, on the one hand, expand the investment channels, on the other hand, a large amount of capital injection also active the capital market. However, insurance companies are also faced with the uncertain external risks from the capital market. In the process of investing in the capital market, how to manage and control these risks in order to realize the security and profitability of their investment funds. This is a very important issue, but also the research direction of this paper. This article first introduced the insurance fund investment correlation theory. It includes the following: portfolio theory, risk management theory, interaction theory between insurance market and capital market. Then the paper analyzes the present situation and problems of insurance fund investment in China by means of comparative method. Taking the United States, Britain and Japan as examples, this paper introduces the current situation and experience of foreign insurance fund investment, with emphasis on the risks faced in the process of insurance fund investment in China. Secondly, using VaR and portfolio model to carry on the empirical research, hoping to find out the optimal portfolio ratio. This part is the most important part of the full text. This paper uses the international popular VaR method to measure the risk of insurance fund investment. Using the method of case analysis and empirical research, this paper makes an empirical study on portfolio optimization of Ping an Insurance Company. Finally, according to the theoretical foundation and empirical analysis, this paper puts forward the construction of internal and external risk management system of insurance companies, and innovatively puts forward the possible interactive model of the two markets. This is also the realization of insurance funds investment in the capital market risk management beneficial measures.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842
[Abstract]:With the rapid and good development of the capital market, the insurance market also presents the happy side: the insurance premium income continues to increase, the insurance fund investment channel is diversified, the insurance fund investment proportion rises. At present, insurance funds invest in the capital market, on the one hand, expand the investment channels, on the other hand, a large amount of capital injection also active the capital market. However, insurance companies are also faced with the uncertain external risks from the capital market. In the process of investing in the capital market, how to manage and control these risks in order to realize the security and profitability of their investment funds. This is a very important issue, but also the research direction of this paper. This article first introduced the insurance fund investment correlation theory. It includes the following: portfolio theory, risk management theory, interaction theory between insurance market and capital market. Then the paper analyzes the present situation and problems of insurance fund investment in China by means of comparative method. Taking the United States, Britain and Japan as examples, this paper introduces the current situation and experience of foreign insurance fund investment, with emphasis on the risks faced in the process of insurance fund investment in China. Secondly, using VaR and portfolio model to carry on the empirical research, hoping to find out the optimal portfolio ratio. This part is the most important part of the full text. This paper uses the international popular VaR method to measure the risk of insurance fund investment. Using the method of case analysis and empirical research, this paper makes an empirical study on portfolio optimization of Ping an Insurance Company. Finally, according to the theoretical foundation and empirical analysis, this paper puts forward the construction of internal and external risk management system of insurance companies, and innovatively puts forward the possible interactive model of the two markets. This is also the realization of insurance funds investment in the capital market risk management beneficial measures.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842
【参考文献】
相关期刊论文 前10条
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