我国保险投资的配置风险与在险价值研究

发布时间：2018-05-26 00:18

本文选题：保险投资 + 资金运用　；参考：《复旦大学》2013年硕士论文

【摘要】：在我国保险业蓬勃发展的30年中,保费规模以每年20%以上的复合增长率快速增长,而每年沉淀下来的保费逐渐形成了规模庞大的可运用保险资金,因此伴随着保费规模的增长,如何合理运用保险资金成为了保险业健康发展至关重要的问题。而保险公司不同于一般的投资机构,保险资金作为一种负债在需要未来承担保险金给付和损失赔偿的责任,商业养老保险和大病医疗保险等险种更是关系到社会稳定和国计民生,确保保险资金的安全性是保险投资的首要原则。然而,在我国金融创新和混业经营加速的大背景下,各种高收益理财产品的出现越来越多地挤占了原有保险产品的市场份额,保险公司需要以更高的内在收益率重新吸引有保险需求的消费者。如何平衡保险投资收益和风险的关系,如何在追求更高收益的同时将风险维持在可控范围内,本文试通过梳理保险投资资产配置风险理论,以及基于在险价值方法的实证分析两方面来探寻这一问题的答案。本文的主要行文思路为,以保险资金运动的内在特征为起点,结合我国保险投资的历史沿革和发展现状,提出现阶段我国保险企业投资配置中面临的最主要风险,即利率风险与市场风险。对保险企业来说,管理利率风险最有效的方法为资产负债匹配技术,而管理市场风险基于VaR的风险管理模型则更具可操作性。完成对不同风险管理理论的梳理后,本文重点选取了中国人寿保险公司为研究对象,综合运用VaR模型与RAROC指标对其风险控制能力进行综合评价。VaR方法可以运用于保险公司对投资风险的评估,建立对投资绩效的评价体系,通过实证研究笔者充分验证了VaR模型在实际运用中的可操作性和风险管理时的清晰含义,并据此对保险投资监管提出三点建议。本文的创新之处在于,通过跟踪大量数据和整理最新监管政策,较全面地展现了目前我国保险企业资金运用情况；运用VaR方法从历史及行业两个维度对上市保险公司投资组合的市场风险暴露进行评价,并在此过程中充分展现以VaR方法管理风险的优势；最后,本文针对目前对保险投资监管不够灵活有效的问题,大胆提出了以VaR方法改进监管体系的政策建议。
[Abstract]:In the 30 years of vigorous development of insurance industry in our country, the scale of insurance premium has increased rapidly with the compound growth rate of more than 20% per year, and the insurance premium deposited every year has gradually formed a large scale of available insurance funds, so it is accompanied by the increase of the scale of insurance premium. How to make rational use of insurance funds has become a crucial issue for the healthy development of the insurance industry. The insurance company is different from the general investment institution. As a kind of liability, the insurance fund should bear the liability of insurance payment and loss compensation in the future. Commercial old-age insurance and medical insurance for serious illness are related to social stability and national economy and people's livelihood. To ensure the safety of insurance funds is the primary principle of insurance investment. However, under the background of financial innovation and the acceleration of mixed operation in China, the emergence of various kinds of high-yield financial products is increasingly squeezing out the market share of the original insurance products. Insurers need to reattract consumers with higher internal rates of return. How to balance the relationship between insurance investment income and risk, how to keep the risk under control while pursuing higher income, this paper tries to sort out the risk theory of insurance investment asset allocation. And based on the empirical analysis of the value of risk approach to explore the answer to this question. The main ideas of this paper are: taking the inherent characteristics of insurance fund movement as the starting point, combining with the history and development of insurance investment in our country, the paper puts forward the most important risks in the investment allocation of insurance enterprises in our country at the present stage. Interest rate risk and market risk. For insurance enterprises, the most effective way to manage interest rate risk is asset-liability matching technology, and the risk management model based on VaR is more operable. After combing different risk management theories, this paper focuses on the Chinese life insurance companies as the research object. The comprehensive evaluation of risk control ability of VaR model and RAROC index can be used to evaluate the investment risk of insurance company and establish the evaluation system of investment performance. The author fully verifies the feasibility of VaR model in practical application and the clear meaning of risk management through empirical research, and puts forward three suggestions on insurance investment supervision. The innovation of this paper is that, by tracking a large number of data and sorting out the latest regulatory policies, the paper comprehensively shows the current situation of the use of funds of insurance enterprises in China; This paper uses VaR method to evaluate the market risk exposure of listed insurance companies' portfolios from the historical and industry dimensions, and fully demonstrates the advantages of using the VaR method to manage risks in the process. Aiming at the problem that the supervision of insurance investment is not flexible and effective at present, this paper puts forward some policy suggestions on how to improve the supervision system by VaR method.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842;F832.48

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