本文選題：保險(xiǎn)資金投資 + 資產(chǎn)負(fù)債匹配管理��； 參考：《上海交通大學(xué)》2014年碩士論文

【摘要】：近十年來(lái)中國(guó)保險(xiǎn)業(yè)發(fā)展迅速，保費(fèi)收入和保險(xiǎn)資金運(yùn)用規(guī)模大幅增長(zhǎng)。但產(chǎn)品同質(zhì)化、費(fèi)率市場(chǎng)化、資本市場(chǎng)波動(dòng)加劇等諸多挑戰(zhàn)使得保險(xiǎn)行業(yè)的競(jìng)爭(zhēng)也日益激烈。如何在全面風(fēng)險(xiǎn)管理框架下進(jìn)行有效的資產(chǎn)負(fù)債管理，，是中國(guó)保險(xiǎn)企業(yè)在當(dāng)前及未來(lái)統(tǒng)籌平衡多重戰(zhàn)略目標(biāo)的有效手段，也是實(shí)現(xiàn)中國(guó)保險(xiǎn)業(yè)價(jià)值持續(xù)增長(zhǎng)的基本要求。 保險(xiǎn)企業(yè)所從事的業(yè)務(wù)主要有兩種類型，一種是保險(xiǎn)（承保）業(yè)務(wù)，屬于保險(xiǎn)公司的負(fù)債業(yè)務(wù)；另一種是投資業(yè)務(wù)，屬于保險(xiǎn)公司的資產(chǎn)業(yè)務(wù)。由于負(fù)債經(jīng)營(yíng)的特性，一方面，保險(xiǎn)公司需要根據(jù)歷史經(jīng)驗(yàn)和對(duì)市場(chǎng)、目標(biāo)客戶的預(yù)期設(shè)計(jì)合適的產(chǎn)品、確定保單期限長(zhǎng)短、保費(fèi)高低。在獲取保費(fèi)收入后通過(guò)對(duì)資產(chǎn)進(jìn)行合理配置和投資，確保投資收益使公司有足夠的償付資金、能提供穩(wěn)定的收益和充足的現(xiàn)金流。另一方面，保險(xiǎn)企業(yè)的承保能力（負(fù)債水平）要與其資產(chǎn)實(shí)力相當(dāng)。保費(fèi)規(guī)模的擴(kuò)張對(duì)應(yīng)著償付能力要求的增加，過(guò)度的拓展業(yè)務(wù)將導(dǎo)致經(jīng)營(yíng)風(fēng)險(xiǎn)提高，資金流動(dòng)性不足，進(jìn)而影響公司獲利能力，因此保險(xiǎn)公司必須確定其承擔(dān)風(fēng)險(xiǎn)的能力，將承保風(fēng)險(xiǎn)控制在可承受的范圍之內(nèi)。 本文從理論和實(shí)證兩個(gè)方面對(duì)我國(guó)保險(xiǎn)資金的資產(chǎn)配置策略進(jìn)行了研究與分析。一方面，從戰(zhàn)略資產(chǎn)配置層面出發(fā)，根據(jù)我國(guó)保險(xiǎn)行業(yè)的實(shí)際情況，在現(xiàn)有理論模型的基礎(chǔ)上，提出了加入風(fēng)險(xiǎn)偏好系數(shù)（承保收益率）的優(yōu)化模型；另一方面，從戰(zhàn)術(shù)資產(chǎn)配置層面出發(fā)，分析了近年來(lái)各大類資產(chǎn)在中國(guó)經(jīng)濟(jì)周期不同階段的表現(xiàn)，并將結(jié)果與美林投資時(shí)鐘模型對(duì)比分析。通過(guò)實(shí)證研究，驗(yàn)證了模型的有效性，并得出有實(shí)際應(yīng)用價(jià)值的結(jié)論。最后,根據(jù)研究結(jié)果，結(jié)合我國(guó)保險(xiǎn)資金運(yùn)用和金融市場(chǎng)的發(fā)展現(xiàn)狀，提出對(duì)保險(xiǎn)資產(chǎn)配置的建議。
[Abstract]:China's insurance industry has developed rapidly in the past ten years, with a sharp increase in premium income and use of insurance funds. But many challenges, such as homogenization of products, marketization of rates and aggravation of capital market fluctuation, make the competition of insurance industry increasingly fierce. How to manage assets and liabilities effectively under the framework of comprehensive risk management is an effective means for Chinese insurance companies to balance and balance multiple strategic objectives at present and in the future. It is also the basic requirement for the sustained growth of the value of the insurance industry in China. There are mainly two types of business engaged in by insurance enterprises, one is insurance (underwriting) business, which belongs to the liability business of insurance companies; the other is investment business. An asset business belonging to an insurance company. Because of the characteristics of liability management, on the one hand, insurance companies need to design appropriate products according to historical experience and expectations of the market and target customers to determine the length of the policy period and the level of insurance premium. After obtaining the premium income, we can make sure that the investment income can make the company have enough repayment capital and provide stable income and sufficient cash flow through the rational allocation and investment of the assets. On the other hand, the insurance company's underwriting capacity (debt level) should be equal to its asset strength. The expansion of premium scale corresponds to the increase of solvency requirement. The excessive expansion of business will lead to the increase of operating risk and the lack of liquidity, which will affect the profitability of the company. Therefore, the insurance company must determine its ability to bear the risk. This paper studies and analyzes the asset allocation strategy of insurance fund in China from the theoretical and empirical aspects. On the one hand, from the strategic asset allocation level, according to the actual situation of China's insurance industry, on the basis of the existing theoretical models, put forward the risk preference coefficient (underwriting rate of return) optimization model; on the other hand, From the aspect of tactical asset allocation, this paper analyzes the performance of various types of assets in different stages of the Chinese economic cycle in recent years, and compares the results with the Merrill Lynch investment clock model. Through empirical research, the validity of the model is verified, and the conclusion of practical application value is obtained. Finally, according to the research results, combined with the application of insurance funds and the development of the financial market in China, some suggestions on the allocation of insurance assets are put forward.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F842.3;F840.4

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