本文關鍵詞： 償二代 壽險資金運用 最優(yōu)投資組合　出處：《浙江工商大學》2017年碩士論文　論文類型：學位論文

【摘要】：自2015年2月中國第二代償付能力監(jiān)管體系(以下簡稱“C-ROSS”或“償二代”)試運行以來,17項監(jiān)管規(guī)則同時發(fā)布,這標志著我國保險業(yè)償付能力監(jiān)管進入新的階段。“償一代”的監(jiān)管制度下要求保險公司具備與業(yè)務規(guī)模相適應的償付能力,而“償二代”則是以風險為主要導向,設立全新償付能力監(jiān)管三支柱,除了定量監(jiān)管要求的細化,新增了定性監(jiān)管要求,并加強了市場約束機制。償二代中對壽險公司的資產(chǎn)配置風險規(guī)定了新的監(jiān)管指標要求,這無疑對壽險公司的投資結(jié)構會產(chǎn)生重大影響,亟需從理論上加以研究。論文主要包括以下幾方面內(nèi)容:第一,近年來我國保險業(yè)的資金運用總體情況。本文首先對我國保險行業(yè)自2007年至2016年的保費收入、資產(chǎn)規(guī)模和投資結(jié)構進行了統(tǒng)計梳理,從總體上對保險資金運用的現(xiàn)實情況進行了研究。由于本文的研究對象是壽險資金,所以對壽險公司歷年來的資產(chǎn)運用情況進行了特別的研究。第二,償二代的基本政策內(nèi)容及其對投資的影響。在此部分本文對“償二代”的主要內(nèi)容進行了闡述,特別是其中有關投資資產(chǎn)的最低風險因子的相關規(guī)定,然后從理論上分析和歸納了它對保險資金運用將會產(chǎn)生的重要影響,主要的觀點是不動產(chǎn)投資板塊顯著利好,大多數(shù)資產(chǎn)風險因子均有所提高。第三,最優(yōu)投資組合模型的建立。本部分先闡述了研究最優(yōu)投資組合時的常用經(jīng)典模型:馬克維茨均值-方差模型。然后結(jié)合我國保險監(jiān)管的政策規(guī)定,包括“償二代”和保險資金運用比例的監(jiān)管政策,修改了經(jīng)典模型中投資風險的約束條件,建立了適用我國壽險保險資金運用的最優(yōu)投資組合模型。第四,計算結(jié)果及其分析。在建立模型和參數(shù)假設以后,利用Lingo軟件對上述線性規(guī)劃方程組進行了求解,得出的主要結(jié)論是當固定收益類資產(chǎn)投資45.8%,權益類資產(chǎn)投資30%,不動產(chǎn)類投資21.6%以及境外資產(chǎn)投資2.6%時可使壽險公司投資收益達到最大。并與償二代正式運行以來實際壽險公司的投資情況比較,理應適當減小銀行存款的投資,適當增加對各種債券、股票、證券投資基金和不動產(chǎn)的投資比例。第五,相關政策建議。在上述理論研究的基礎上,本文提出了一些政策建議,目的是提出在償二代政策下壽險公司應提高自身資產(chǎn)配置與風險管理的能力,在符合國家標準的情況下實現(xiàn)投資收益最大化。
[Abstract]:Since February 2015, China's second generation solvency supervision system (hereinafter referred to as "C-ROSS" or "compensation of the second generation") trial operation, there are 17 regulatory rules issued simultaneously. This marks a new stage in the regulation of the solvency of the insurance industry in China. Under the regulatory system of "compensation generation", insurance companies are required to have solvency commensurate with the scale of their business. The "compensation of the second generation" is to risk as the main guide, set up a new solvency supervision three pillars, in addition to quantitative regulatory requirements refinement, new qualitative regulatory requirements. And strengthen the market constraint mechanism. In the second generation, the asset allocation risk of the life insurance company set a new regulatory index requirements, which will undoubtedly have a significant impact on the investment structure of the life insurance company. The thesis mainly includes the following aspects: first. In recent years, the use of insurance funds in China's general situation. Firstly, the insurance industry in China from 2007 to 2016, the insurance premium income, asset size and investment structure were statistically combed. As the object of this paper is life insurance funds, so the use of assets of life insurance companies over the years has been a special study. Second. The basic policy content of the second generation and its influence on the investment. In this part, the main contents of the second generation are expounded, especially the relevant provisions about the minimum risk factor of the investment assets. Then from the theoretical analysis and induction of its use of insurance funds will have an important impact, the main point is that the real estate investment plate significantly good, most of the asset risk factors have improved. Third. The establishment of the optimal portfolio model. This part of the study of the optimal portfolio of classical models: Markowitz mean-variance model, and then combined with the policy provisions of China's insurance regulation. Including the "compensation of the second generation" and the proportion of insurance funds use of the regulatory policy, modified the classical model of investment risk constraints, established the life insurance fund for our country's optimal portfolio model. 4th. After establishing the model and parameter hypothesis, the above linear programming equations are solved by Lingo software. The main conclusion is that the fixed income asset investment is 45.8 percent, equity asset investment is 30%. Real estate investment of 21.6% and foreign assets investment of 2.6 can make the investment income of life insurance company to reach the maximum, and compare with the actual life insurance company investment situation since the second generation of formal operation. We should reduce the investment of bank deposits and increase the investment ratio of various bonds, stocks, securities investment funds and real estate. 5th, related policy recommendations. On the basis of the above theoretical research. This paper puts forward some policy suggestions, the purpose of which is to propose that life insurance companies should improve their ability of asset allocation and risk management under the second generation policy, and realize the maximization of investment income in accordance with national standards.
【學位授予單位】：浙江工商大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F842.62

【參考文獻】

相關期刊論文 前10條

1 張蓓;;償二代時代保險公司償付能力管理探析[J];價值工程;2016年20期

2 趙宇龍;趙立戎;;償二代中的再保險:新格局、新定位、新標準[J];中國保險;2016年07期

3 劉丹;;“償二代”:以風險為導向的償付能力監(jiān)管體系[J];現(xiàn)代商業(yè);2016年09期

4 高雨萌;;“償二代”下保險企業(yè)的償付能力及風險指標體系淺析[J];商;2016年10期

5 田玲;陳金燕;王含冰;;“償二代”監(jiān)管體系下中國財產(chǎn)保險公司應對巨災風險的能力測算與分析[J];保險研究;2016年02期

6 靳珂;;我國保險投資組合風險管理:基于VaR的研究[J];河南社會科學;2016年02期

7 陳晗;王霄;;“償二代”背景下公司治理對壽險公司償付能力的影響——基于我國2014年中外資壽險公司截面數(shù)據(jù)的實證檢驗[J];中國會計評論;2015年04期

8 敦浩;王宏巖;朱軍霞;;償二代下險資運用風險管理特點[J];當代金融家;2015年12期

9 郭菁;;償二代下險資運用新趨勢[J];當代金融家;2015年12期

10 王梓安;;“償二代”對我國保險行業(yè)及保險公司的影響淺析[J];商;2015年45期

相關博士學位論文 前5條

1 李曉宇;保險資金運用效率實證研究[D];首都經(jīng)濟貿(mào)易大學;2014年

2 彭幸春;倒向隨機微分方程與Malliavin計算在保險投資相關問題中的應用[D];武漢大學;2013年

3 林炫圻;商業(yè)保險資金運用投資優(yōu)化與風險管理研究[D];南開大學;2013年

4 李亞敏;我國保險資金運用問題研究[D];復旦大學;2007年

5 張學江;保險投資論[D];廈門大學;2002年

相關碩士學位論文 前4條

1 王鵬;大類監(jiān)管背景下保險資金最優(yōu)投資組合的實證研究[D];東北財經(jīng)大學;2015年

2 許英;保險資金投資組合模型和投資對策研究[D];東華大學;2014年

3 張林蘭;保險資金投資新政背景下最優(yōu)化組合的實證分析[D];江西財經(jīng)大學;2013年

4 李小春;保險資金投資組合方法比較[D];武漢理工大學;2010年

，

本文編號：1476778