保险资金投资组合模型和投资对策研究

发布时间：2018-05-18 08:07

本文选题：投资组合模型 + 破产概率　；参考：《东华大学》2014年硕士论文

【摘要】：保险公司的收益不仅仅依赖于保险业务,还依赖于保险资金的投资业务。金融市场的多样性和金融资产收益的不确定性,加剧了保险资金投资风险。保险资金投资组合的构建关系到投资收益,还影响保险公司的偿付能力。将承保风险问题与投资组合问题结合在一起研究,属于一类特殊的组合投资问题。近几年来,同时考虑承保风险和投资风险的投资组合问题的研究逐渐受到关注。长期以来,我国保险资金投资面临收益低且不稳定、结构不合理和渠道不完善等问题,影响了保险公司偿付能力建设,制约了保险业的可持续发展。2012年“13项新政”在一定程度上放开了保险资金投资渠道和投资比例限制,2013年10月保监会《关于加强和改进保险资金运用比例监管的通知(征求意见稿)》进一步明确了保险资金相关投资政策,新政使保险资金投资结构优化决策面临着新的机遇和挑战。因此,在我国现行特殊的投资环境下,通过构建保险资金投资组合来提高投资收益,成为理论界与实务界的研究热点。本文从理论和实践两个方面研究了我国保险资金的投资组合优化问题。建立了不同约束的模型并给出相应投资组合的最优策略,在此基础上,针对寿险公司和财产险公司,分别从承保收益、理赔风险和投资增值能力三方面提出分别针对寿险资金和财产险资金投资风险管理建议。最后,通过实证研究对比研究政策变化和投资人偏好变化的结果差异分析出投资比例对投资决策的影响,对比发达国家资金的运用现状,从监管、保险公司和保险行业三个层面提出我国保险资金投资收益水平提升的对策。具体来说,本文的主要工作如下： (1)针对寿险资金投资的安全性、收益性、流动性和匹配性等性质,研究了寿险资金的投资组合问题,基于经典的Cramer-Lundberg风险模型,考虑投资比例和承保收益的影响,提出了包含正负风险过程的连续时间投资组合模型、包含双边跳风险过程的连续时间投资组合模型和包含二元风险过程的连续时间投资组合模型,求解出了有效投资策略和有效边界的解析表达式。根据提出的三类模型,分别从承保收益、理赔风险和投资增值能力三个方面给出寿险资金投资风险管理问题的建议。 (2)考虑财产险资金投资的流动性风险、信用风险、政策风险和操作风险的风险特性,针对财务险资金的投资组合问题,考虑投资比例和承保收益的影响,提出了线性收入约束下离散风险的投资组合模型和随机收入约束下离散风险投资组合模型,求解出了随机收入约束下的有效投资策略和有效边界的解析表达式。根据提出的投资组合模型,从承保、理赔和投资三个核心变量角度给出财产险资金投资风险管理问题的建议。 (3)基于提出的连续时间投资组合模型,考虑在我国现有的政策许可和市场条件限制下,通过实证分析,研究政策变化和投资人偏好变化对投资决策的影响,并对比发达国家资金的运用现状,从监管、保险公司和保险行业三个层面提出提升保险资金风险管理水平的对策。
[Abstract]:The income of insurance companies depends not only on insurance business , but also on the investment business of insurance funds . The diversification of financial markets and the uncertainty of financial asset returns aggravate the investment risk of insurance funds . The construction of the portfolio of insurance funds is related to the investment income and also affects the solvency of insurance companies .

For a long time , China ' s insurance capital investment is confronted with the problems of low return and unstable structure , unreasonable structure and imperfect channel , which influences the sustainable development of insurance industry .

This paper studies the optimization of the portfolio optimization of insurance funds in China from two aspects : theory and practice .

( 1 ) Based on the characteristics of safety , profitability , liquidity and matching of investment in life insurance funds , the paper studies the portfolio problem of life insurance funds . Based on the classic Cramer - Lundberg risk model , considering the influence of investment proportion and underwriting profit , a continuous time investment portfolio model containing positive and negative risk processes , continuous time investment portfolio model containing double risk process and continuous time investment portfolio model containing binary risk process are proposed , and the analytical expression of effective investment strategy and effective boundary is proposed . According to the proposed three types of models , the proposal of risk management of life insurance capital investment is given from three aspects of underwriting profit , settlement risk and investment appreciation ability , respectively .

( 2 ) Considering the liquidity risk , the credit risk , the policy risk and the risk characteristic of the capital investment in property insurance , considering the influence of the investment proportion and the underwriting profit , the paper puts forward the portfolio model of the discrete risk under the linear revenue constraint and the discrete venture capital portfolio model under the stochastic income constraint , and solves the effective investment strategy and the analytic expression of the effective boundary under the stochastic income constraint . According to the proposed portfolio model , the proposal of the investment risk management of property insurance funds is given from the angle of underwriting , settlement and investment .

( 3 ) Based on the proposed continuous time portfolio model , consider the impact of policy changes and investor preference changes on investment decision - making under the existing policy and market conditions in our country , and compare the current situation of the utilization of funds in developed countries , and put forward the countermeasures to improve the risk management level of insurance funds from three aspects of supervision , insurance company and insurance industry .
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.48

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