本文選題：中小壽險公司 + 戰(zhàn)略資產(chǎn)配置　； 參考：《西南財經(jīng)大學(xué)》2014年碩士論文

【摘要】：本論文的主要研究對象是戰(zhàn)略資產(chǎn)配置(Strategic Asset Allocation,簡稱sAA)在我國中小壽險公司的應(yīng)用。論文主要解決的問題有兩個：一個是為什么我國中小壽險公司需要進行戰(zhàn)略資產(chǎn)配置；另一個是在目前的內(nèi)外部環(huán)境下,我國中小壽險公司如何構(gòu)建在資產(chǎn)負(fù)債管理視角下的戰(zhàn)略資產(chǎn)配置體系。對于第一個問題,論文首先對中小壽險公司進行定義,以總資產(chǎn)和市場份額為主要劃型標(biāo)準(zhǔn),確定哪些公司屬于中小壽險公司的范疇。再對戰(zhàn)略資產(chǎn)配置理論和模型進行梳理和總結(jié)。在此基礎(chǔ)上,搜集大量數(shù)據(jù)分析我國中小壽險公司的資產(chǎn)配置現(xiàn)狀,由此得出我國中小壽險公司進行戰(zhàn)略資產(chǎn)配置的必要性。并且以國內(nèi)某家中小壽險公司為例,實際分析其應(yīng)用戰(zhàn)略資產(chǎn)配置的過程。對于第二個問題,論文基于資產(chǎn)負(fù)債管理理論從資產(chǎn)負(fù)債兩個方面分析戰(zhàn)略資產(chǎn)配置過程,重點分析這兩方面分別需要考慮的內(nèi)容及應(yīng)用中涉及的主要參數(shù)。最后,提出我國中小壽險公司在進行戰(zhàn)略資產(chǎn)配置決策時可參考的流程。 論文總共分為四個章節(jié)。 第一章主要是討論本人的選題背景和國內(nèi)外關(guān)于資產(chǎn)配置的文獻綜述。論文首先關(guān)注到我國壽險業(yè)在取得飛速發(fā)展的同時卻缺乏良好的投資收益。尤其是我國的中小壽險公司,在競爭日益激烈的環(huán)境下,想要提高自身投資收益并取得長遠(yuǎn)發(fā)展,更加需要重視保險資金的投資問題。而取得良好投資收益的關(guān)鍵是制定正確而適合的戰(zhàn)略資產(chǎn)配置策略。其次,論文對國內(nèi)外資產(chǎn)配置相關(guān)研究進行總結(jié),發(fā)現(xiàn)目前學(xué)術(shù)界對于戰(zhàn)略資產(chǎn)配置的研究還比較少。目前主要的研究切入點在于構(gòu)建模型求解最優(yōu)資產(chǎn)配置和比較不同資產(chǎn)配置策略對資金投資績效的貢獻度。但是這些研究主要集中在證券基金或養(yǎng)老金上,比較少關(guān)注到壽險公司的資產(chǎn)配置上,而對于中小壽險公司的資產(chǎn)配置研究就更加少。因此,本文提出對中小壽險公司的戰(zhàn)略資產(chǎn)配置進行研究是具有理論與實踐意義的。 第二章主要對中小壽險公司的范疇和戰(zhàn)略資產(chǎn)配置策略進行概括性分析。由于目前保監(jiān)會還沒有給出官方的關(guān)于壽險企業(yè)的劃型標(biāo)準(zhǔn),論文在參考其他行業(yè)對于中小型企業(yè)定義的基礎(chǔ)上,以總資產(chǎn)規(guī)模和市場份額為主要劃型標(biāo)準(zhǔn)對我國壽險公司進行歸類,得出中小壽險公司的范圍。本文得出的中小壽險公司的標(biāo)準(zhǔn)是：資產(chǎn)總額占比4%以下、保費收入占比5%以下且資產(chǎn)總額在100億元以上的壽險公司劃分為中小型壽險公司。在第二節(jié)中,論文基于已劃分的中小壽險公司,提出這些中小壽險公司相對于大型壽險公司所具有的7大特點：市場份額的差異、經(jīng)營成本的差異、渠道與產(chǎn)品結(jié)構(gòu)的差異、經(jīng)營管理的差異、知名度的差異、產(chǎn)品開發(fā)與資金投資的差異和投資能力的差異。在第三節(jié)中,論文對戰(zhàn)略資產(chǎn)配置的定義進行簡單的描述。并重點介紹了6大戰(zhàn)略資產(chǎn)配置模型：基于MV理論的戰(zhàn)略資產(chǎn)配置模型、基于LPM理論的戰(zhàn)略資產(chǎn)配置模型、基于“安全第一”投資組合理論的戰(zhàn)略資產(chǎn)配置模型、基于VaR理論的戰(zhàn)略資產(chǎn)配置模型、基于SP/A理論的戰(zhàn)略資產(chǎn)配置模型和基于行為組合理論的戰(zhàn)略資產(chǎn)配置模型。。 第三章是全文的重點章節(jié),主要研究我國中小壽險公司資產(chǎn)配置的實際情況。第一節(jié)從投資資產(chǎn)、投資收益和組織架構(gòu)三個方面分析我國中小壽險公司的資產(chǎn)配置現(xiàn)狀。得出我國中小壽險公司的投資收益并不理想的結(jié)論,且投資渠道較為狹窄,主要投資于債權(quán)股權(quán)和定期存款,投資較為穩(wěn)健。第二節(jié)從壽險產(chǎn)品結(jié)構(gòu)、投資資產(chǎn)結(jié)構(gòu)和系統(tǒng)的戰(zhàn)略資產(chǎn)配置體系三個方面分析我國中小壽險公司資產(chǎn)配置存在的問題。第三節(jié)應(yīng)用簡單的投資組合模擬方法,設(shè)置3組不同配置比例的投資組合,并對隨機選取的一家中小壽險公司近幾年的投資收益進行戰(zhàn)略資產(chǎn)配置后的累計收益對比,得出戰(zhàn)略資產(chǎn)配置對投資收益有重要影響的結(jié)論。因此,中小壽險公司有必要進行戰(zhàn)略資產(chǎn)配置。第四節(jié)以國內(nèi)某家中小壽險公司為例,對戰(zhàn)略資產(chǎn)配置的應(yīng)用過程進行系統(tǒng)性說明。文章從該公司的負(fù)債特點出發(fā),將產(chǎn)品線細(xì)分為四大項目。針對每個細(xì)分項目進行不同的戰(zhàn)略資產(chǎn)配置安排,在綜合考慮公司資本要求、償付能力、流動性和風(fēng)險偏好等因素的基礎(chǔ)上,利用軟件計算得到四個細(xì)分項目的最優(yōu)戰(zhàn)略資產(chǎn)配置比例。 第四章是在前文分析的基礎(chǔ)上,對于中小壽險公司如何應(yīng)用戰(zhàn)略資產(chǎn)配置提出建議。第一節(jié)對中小壽險公司可以選擇進行戰(zhàn)略資產(chǎn)配置的模式進行比較。第二節(jié)建議中小壽險公司成立資產(chǎn)負(fù)債管理部門。首先,建議中小壽險公司選擇適宜的戰(zhàn)略資產(chǎn)配置方法,并分析該部門所要滿足的要求。接著,從兩方面分析構(gòu)建戰(zhàn)略資產(chǎn)配置需要考慮的原則和因素。一方面是資產(chǎn),中小壽險公司需要考慮可投資的資產(chǎn)類別,關(guān)注選擇投資資產(chǎn)類別時需要遵循的原則。再給出是否在戰(zhàn)略資產(chǎn)配置策略中加入新的資產(chǎn)類別的評價標(biāo)準(zhǔn)。另一方面是負(fù)債,中小壽險公司在分析公司業(yè)務(wù)特點的基礎(chǔ)上,對自有產(chǎn)品線進行項目細(xì)分。每個細(xì)分項目擁有自己的收益目標(biāo)、風(fēng)險參數(shù)和流動性特點。并從資產(chǎn)和負(fù)債兩方面對戰(zhàn)略資產(chǎn)配置模型涉及的主要參數(shù)進行介紹。最后將中小壽險公司的戰(zhàn)略資產(chǎn)配置流程進行細(xì)化說明,為中小壽險公司未來應(yīng)用戰(zhàn)略資產(chǎn)配置提供理論的支持。 本文采用的研究方法有定性與定量相結(jié)合、比較分析和案例分析等。 本文的創(chuàng)新之處在于研究我國中小壽險公司戰(zhàn)略資產(chǎn)配置的實際應(yīng)用問題,并且提出基于資產(chǎn)負(fù)債管理的視角構(gòu)建戰(zhàn)略資產(chǎn)配置體系。
[Abstract]:The main object of this paper is the application of Strategic Asset Allocation (sAA) in China's small and medium life insurance companies. There are two main problems to be solved in this paper: one is why the small and medium life insurance companies in China need to carry out strategic asset allocation; the other is in the current internal and external environment, China's medium and small life How to construct the strategic asset allocation system in the perspective of asset liability management. For the first question, the paper first defines the small and medium life insurance companies, and takes the total assets and market share as the main criteria to determine which companies belong to the category of small and medium life insurance companies. Then the theory and model of strategic asset allocation are combed. On this basis, a large number of data are collected to analyze the status quo of the asset allocation of small and medium life insurance companies in China, thus the necessity of the strategic asset allocation of small and medium life insurance companies in China is drawn. And the process of the strategic asset allocation is analyzed by a small and medium life insurance company in China. The paper is based on the second problems. The asset liability management theory analyzes the process of strategic asset allocation from two aspects of assets and liabilities, focusing on the contents of the two aspects and the main parameters involved in the application. Finally, it puts forward the process of reference for the small and medium life insurance companies in the strategic asset allocation decision in China.
The thesis is divided into four chapters.
The first chapter is to discuss the background of my topic and the literature review on asset allocation at home and abroad. First of all, the thesis is concerned with the rapid development of China's life insurance industry but lack of good investment income, especially in China's small and medium life insurance companies, in the increasingly competitive environment, they want to improve their own investment returns and obtain the benefits. In the long run, we need to pay more attention to the investment of insurance funds. The key to achieving good investment income is to make a correct and suitable strategic asset allocation strategy. Secondly, the thesis summarizes the related research on asset allocation at home and abroad, and finds that there are few studies on the allocation of strategic assets at present. The main research is at present. The breakthrough point is to build the model to solve the optimal asset allocation and to compare the contribution degree of different asset allocation strategies to the performance of capital investment. However, these studies mainly focus on the securities fund or pension fund, less attention to the asset allocation of life insurance companies, and less research on the allocation of asset allocation for small and medium life insurance companies. It is of theoretical and practical significance to study the strategic asset allocation of small and medium life insurance companies.
The second chapter mainly analyzes the category and strategic asset allocation strategy of small and medium-sized life insurance companies. Since the CIRC has not yet given the official criteria for the planning of the life insurance companies, the paper is based on the definition of small and medium enterprises in other industries, and is based on the scale of the total capital and market share as the main classification standard. In this paper, the standard of small and medium life insurance companies is divided into small and medium life insurance companies with total assets of less than 4%, premium income less than 5% and the total assets of more than 10 billion yuan are divided into small and medium life insurance companies. In the second section, the paper is based on the divided medium and small life insurance. The company has put forward 7 characteristics of the small and medium life insurance companies relative to the large life insurance companies: the difference in market share, the difference of operating cost, the difference of channel and product structure, the difference of management and management, the difference of popularity, the difference of product development and capital investment and the difference of investment ability. In the third section, the thesis is the strategy. The definition of asset allocation is briefly described, and 6 strategic asset allocation models are mainly introduced: strategic asset allocation model based on MV theory, strategic asset allocation model based on LPM theory, strategic asset allocation model based on the "safety first" portfolio theory, strategic asset allocation model based on VaR theory, and SP/ based on the strategic asset allocation model. The strategic asset allocation model of A theory and the strategic asset allocation model based on behavioral portfolio theory.
The third chapter is the key chapter of the full text. It mainly studies the actual situation of the asset allocation of small and medium life insurance companies in China. The first section analyses the status of the asset allocation of small and medium life insurance companies in China from three aspects of investment assets, investment income and organizational structure, and draws a conclusion that the investment income of small and medium life insurance companies in China is not ideal, and the investment channels are more than that. For the narrow, mainly investment in creditor's rights and regular deposits, investment is more robust. The second section from the structure of life insurance products, investment assets structure and the system of strategic asset allocation system in three aspects of China's small and medium life insurance companies to analyze the problem of asset allocation. The third section applies a simple method of investment portfolio simulation, set up 3 different configurations of the configuration The proportion of investment portfolio and the cumulative income comparison of the strategic asset allocation of a randomly selected small and medium-sized life insurance company in recent years, the conclusion is that the strategic asset allocation has an important impact on the investment income. Therefore, the small and medium life insurance companies are necessary to carry out the strategic asset allocation. The fourth section is based on a domestic medium and small life insurance. As an example, a systematic description of the application process of strategic asset allocation is made. From the liability characteristics of the company, the article subdivides the product line into four major projects. Different strategic asset allocation arrangements are carried out for each subdivision project, and the basis of the company's capital requirements, payment capacity, liquidity and risk preference are taken into consideration. The optimal strategic asset allocation ratio of four sub projects is calculated by software.
The fourth chapter, on the basis of the previous analysis, puts forward some suggestions on how to apply the strategic asset allocation to small and medium life insurance companies. The first section compares the mode of selecting the strategic asset allocation for small and medium life insurance companies. The second section suggests that the small and medium-sized life insurance companies establish the asset liability management department. The strategic asset allocation method is suitable and the requirements of the Department are analyzed. Then, the principles and factors that need to be taken into consideration are analyzed from two aspects. On the one hand, the assets, the small and medium life insurance companies need to consider the types of assets to be invested, and pay attention to the principles to be followed when choosing the category of investment assets. The strategic asset allocation strategy is added to the new asset class evaluation criteria. On the other hand, the medium and small life insurance companies are subdividing their own product lines on the basis of the analysis of the company's business characteristics. Each subdivision has its own profit goals, risk parameters and liquidity characteristics. And the two aspects of the assets and liabilities are against the war. The main parameters involved in the strategic asset allocation model are introduced. Finally, the strategic asset allocation process of small and medium life insurance companies is refined to provide theoretical support for the future application of strategic asset allocation for small and medium-sized life insurance companies.
The research methods adopted in this paper include qualitative and quantitative analysis, comparative analysis and case analysis.
The innovation of this paper is to study the practical application of strategic asset allocation for small and medium life insurance companies in China, and to build a strategic asset allocation system based on the perspective of asset liability management.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F842.3;F840.4

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