X保险公司的投资组合管理策略研究

发布时间：2019-05-06 23:52

【摘要】：金融自由化及金融创新发展条件下,保险公司已经愈发成为资本市场中举足轻重的机构投资者,金融功能已成为保险公司愈发突出的功能。而激烈的保险竞争环境下,要维持保险公司在市场环境中的竞争力,加强保险公司的投资管理,这已然成为各大保险公司必然追求的方向。就目前而言,费差与利差组成的损益是我国保险公司的业务利润来源。而由于保险产品的价格会受到费差的影响,继而直接影响保险的销售,因此欲借助费差得到利润,必然存在很大程度上的限制。此外,受我国加入世贸组织时承诺兑现的影响,中国的保险市场已有大量外资保险公司开始进入,在愈发激烈的竞争环境下,费差会逐步收缩于零甚至达到负值。所以,保险投资才是保险公司利润的主要获取来源。受长期以来我国在保险投资渠道方面的限制,就我国保险公司而言,其相当大部分资金都是滞压在银行中的,而受中国人民银行调低利率措施的影响,保险公司在利差方面遭受了大量的损失,对我国保险公司的投资效益产生了严重的影响。为此,本文首先对保险基金投资的相关理论进行了概述,主要包括风险收益理论、资产组合理论和现代投资理论。其次,分析了外国发达国家保险投资组合的状况,包括美国、日本以及韩国,并结合这些国家的情况,分析了我国保险投资的现状和问题,并对这些问题进行了原因上的追踪。然后,以X保险公司投资组合为案例,通过建立马克维茨组合选择模型,进行综合学分析,并对多目标投资组合模型在保险投资中的运用进行探讨。最后,结合上述理论分析和对实践的借鉴,找出完善X保险公司投资组合的策略建议。主要包括,大力建设x保险公司的内控制度、实施资产混合管理策略、促进投资风险的内部分散化,以及实施利率免疫技术对抗投资风险。本文的研究对象是X保险公司投资组合策略,归纳了X保险公司组合投资的各种策略,并重点论述了X保险公司的组合投资策略。同时在国内外许多学者研究的基础上,做了一些有益的扩展研究和尝试,在一定方面进行了改进和创新。在保险资金投资研究中,为构建组合投资提供系统的解决方案,提出了保险资金的选择标准和组合投资方法的选择。同时也给出了保险资金组合投资绩效评价的指标和方法。
[Abstract]:Under the conditions of financial liberalization and financial innovation, insurance companies have become more and more important institutional investors in the capital market, and financial functions have become increasingly prominent functions of insurance companies. Under the intense insurance competition environment, to maintain the insurance company's competitive power in the market environment and strengthen the insurance company's investment management, this has already become the inevitable direction that each big insurance company pursues. At present, the profit and loss of spread and interest rate is the source of business profit of insurance companies in our country. And because the price of insurance products will be affected by the difference of fees, and then directly affect the sale of insurance, so there is bound to be a great degree of restriction in order to obtain profit from the difference of insurance fees. In addition, due to the impact of China's entry into WTO, a large number of foreign insurance companies have begun to enter the insurance market of China. Under the increasingly fierce competition environment, the fee difference will gradually shrink to zero or even reach negative value. Therefore, insurance investment is the main source of profits for insurance companies. Because of the long-standing restrictions on insurance investment channels in China, as far as the insurance companies in China are concerned, a large part of their funds are stagnant in the banks and affected by the measures of lowering interest rates by the people's Bank of China. Insurance companies have suffered a large number of losses in the spread, which has a serious impact on the investment efficiency of insurance companies in China. Therefore, this paper firstly summarizes the related theories of insurance fund investment, including risk-return theory, portfolio theory and modern investment theory. Secondly, this paper analyzes the situation of insurance portfolio in foreign developed countries, including the United States, Japan and South Korea, and analyzes the current situation and problems of insurance investment in China according to the situation of these countries, and makes a follow-up on the reasons for these problems. Then, taking X insurance company's portfolio as an example, through the establishment of Markowitz portfolio selection model, a comprehensive analysis is carried out, and the application of multi-objective portfolio model in insurance investment is discussed. Finally, combined with the above theoretical analysis and practical reference, find out the X insurance companies to improve the investment portfolio of the strategy recommendations. It mainly includes the construction of x insurance company's internal control system, the implementation of asset mix management strategy, the promotion of internal diversification of investment risk, and the implementation of interest rate immunity technology against investment risk. The research object of this paper is the portfolio strategy of X insurance company, the various strategies of X insurance company portfolio investment are summarized, and the portfolio investment strategy of X insurance company is discussed emphatically. At the same time, on the basis of the research of many scholars at home and abroad, we have done some beneficial expansion research and attempt, and have carried on the improvement and the innovation in a certain aspect. In the research of insurance fund investment, this paper puts forward the selection criteria of insurance fund and the choice of portfolio investment method in order to provide a systematic solution to the construction of portfolio investment. At the same time, it also gives the index and method of the performance evaluation of insurance portfolio investment.
【学位授予单位】：华东理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842.3;F274

【参考文献】