發(fā)布時(shí)間：2018-07-09 22:18

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

【摘要】：本論文的主要研究對(duì)象是戰(zhàn)略資產(chǎn)配置(Strategic Asset Allocation,簡(jiǎn)稱(chēng)sAA)在我國(guó)中小壽險(xiǎn)公司的應(yīng)用。論文主要解決的問(wèn)題有兩個(gè)：一個(gè)是為什么我國(guó)中小壽險(xiǎn)公司需要進(jìn)行戰(zhàn)略資產(chǎn)配置；另一個(gè)是在目前的內(nèi)外部環(huán)境下,我國(guó)中小壽險(xiǎn)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(duì)于第一個(gè)問(wèn)題,論文首先對(duì)中小壽險(xiǎn)公司進(jìn)行定義,以總資產(chǎn)和市場(chǎng)份額為主要?jiǎng)澬蜆?biāo)準(zhǔn),確定哪些公司屬于中小壽險(xiǎn)公司的范疇。再對(duì)戰(zhàn)略資產(chǎn)配置理論和模型進(jìn)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(guó)中小壽險(xiǎn)公司的資產(chǎn)配置現(xiàn)狀,由此得出我國(guó)中小壽險(xiǎn)公司進(jìn)行戰(zhàn)略資產(chǎn)配置的必要性。并且以國(guó)內(nèi)某家中小壽險(xiǎn)公司為例,實(shí)際分析其應(yīng)用戰(zhàn)略資產(chǎn)配置的過(guò)程。對(duì)于第二個(gè)問(wèn)題,論文基于資產(chǎn)負(fù)債管理理論從資產(chǎn)負(fù)債兩個(gè)方面分析戰(zhàn)略資產(chǎn)配置過(guò)程,重點(diǎn)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(guó)中小壽險(xiǎn)公司在進(jìn)行戰(zhàn)略資產(chǎn)配置決策時(shí)可參考的流程。 論文總共分為四個(gè)章節(jié)。 第一章主要是討論本人的選題背景和國(guó)內(nèi)外關(guān)于資產(chǎn)配置的文獻(xiàn)綜述。論文首先關(guān)注到我國(guó)壽險(xiǎn)業(yè)在取得飛速發(fā)展的同時(shí)卻缺乏良好的投資收益。尤其是我國(guó)的中小壽險(xiǎn)公司,在競(jìng)爭(zhēng)日益激烈的環(huán)境下,想要提高自身投資收益并取得長(zhǎng)遠(yuǎn)發(fā)展,更加需要重視保險(xiǎn)資金的投資問(wèn)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(duì)國(guó)內(nèi)外資產(chǎn)配置相關(guān)研究進(jìn)行總結(jié),發(fā)現(xiàn)目前學(xué)術(shù)界對(duì)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(diǎn)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(duì)資金投資績(jī)效的貢獻(xiàn)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(xiǎn)公司的資產(chǎn)配置上,而對(duì)于中小壽險(xiǎn)公司的資產(chǎn)配置研究就更加少。因此,本文提出對(duì)中小壽險(xiǎn)公司的戰(zhàn)略資產(chǎn)配置進(jìn)行研究是具有理論與實(shí)踐意義的。 第二章主要對(duì)中小壽險(xiǎn)公司的范疇和戰(zhàn)略資產(chǎn)配置策略進(jìn)行概括性分析。由于目前保監(jiān)會(huì)還沒(méi)有給出官方的關(guān)于壽險(xiǎn)企業(yè)的劃型標(biāo)準(zhǔn),論文在參考其他行業(yè)對(duì)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(chǎng)份額為主要?jiǎng)澬蜆?biāo)準(zhǔn)對(duì)我國(guó)壽險(xiǎn)公司進(jìn)行歸類(lèi),得出中小壽險(xiǎn)公司的范圍。本文得出的中小壽險(xiǎn)公司的標(biāo)準(zhǔn)是：資產(chǎn)總額占比4%以下、保費(fèi)收入占比5%以下且資產(chǎn)總額在100億元以上的壽險(xiǎn)公司劃分為中小型壽險(xiǎn)公司。在第二節(jié)中,論文基于已劃分的中小壽險(xiǎn)公司,提出這些中小壽險(xiǎn)公司相對(duì)于大型壽險(xiǎn)公司所具有的7大特點(diǎn)：市場(chǎng)份額的差異、經(jīng)營(yíng)成本的差異、渠道與產(chǎn)品結(jié)構(gòu)的差異、經(jīng)營(yíng)管理的差異、知名度的差異、產(chǎn)品開(kāi)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(duì)戰(zhàn)略資產(chǎn)配置的定義進(jìn)行簡(jiǎn)單的描述。并重點(diǎn)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(diǎn)章節(jié),主要研究我國(guó)中小壽險(xiǎn)公司資產(chǎn)配置的實(shí)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(gè)方面分析我國(guó)中小壽險(xiǎn)公司的資產(chǎn)配置現(xiàn)狀。得出我國(guó)中小壽險(xiǎn)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(xiǎn)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(gè)方面分析我國(guó)中小壽險(xiǎn)公司資產(chǎn)配置存在的問(wèn)題。第三節(jié)應(yīng)用簡(jiǎn)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(duì)隨機(jī)選取的一家中小壽險(xiǎn)公司近幾年的投資收益進(jìn)行戰(zhàn)略資產(chǎn)配置后的累計(jì)收益對(duì)比,得出戰(zhàn)略資產(chǎn)配置對(duì)投資收益有重要影響的結(jié)論。因此,中小壽險(xiǎn)公司有必要進(jìn)行戰(zhàn)略資產(chǎn)配置。第四節(jié)以國(guó)內(nèi)某家中小壽險(xiǎn)公司為例,對(duì)戰(zhàn)略資產(chǎn)配置的應(yīng)用過(guò)程進(jìn)行系統(tǒng)性說(shuō)明。文章從該公司的負(fù)債特點(diǎn)出發(fā),將產(chǎn)品線細(xì)分為四大項(xiàng)目。針對(duì)每個(gè)細(xì)分項(xiàng)目進(jìn)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(dòng)性和風(fēng)險(xiǎn)偏好等因素的基礎(chǔ)上,利用軟件計(jì)算得到四個(gè)細(xì)分項(xiàng)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(duì)于中小壽險(xiǎn)公司如何應(yīng)用戰(zhàn)略資產(chǎn)配置提出建議。第一節(jié)對(duì)中小壽險(xiǎn)公司可以選擇進(jìn)行戰(zhàn)略資產(chǎn)配置的模式進(jìn)行比較。第二節(jié)建議中小壽險(xiǎn)公司成立資產(chǎn)負(fù)債管理部門(mén)。首先,建議中小壽險(xiǎn)公司選擇適宜的戰(zhàn)略資產(chǎn)配置方法,并分析該部門(mén)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(xiǎn)公司需要考慮可投資的資產(chǎn)類(lèi)別,關(guān)注選擇投資資產(chǎn)類(lèi)別時(shí)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(lèi)別的評(píng)價(jià)標(biāo)準(zhǔn)。另一方面是負(fù)債,中小壽險(xiǎn)公司在分析公司業(yè)務(wù)特點(diǎn)的基礎(chǔ)上,對(duì)自有產(chǎn)品線進(jìn)行項(xiàng)目細(xì)分。每個(gè)細(xì)分項(xiàng)目擁有自己的收益目標(biāo)、風(fēng)險(xiǎn)參數(shù)和流動(dòng)性特點(diǎn)。并從資產(chǎn)和負(fù)債兩方面對(duì)戰(zhàn)略資產(chǎn)配置模型涉及的主要參數(shù)進(jìn)行介紹。最后將中小壽險(xiǎn)公司的戰(zhàn)略資產(chǎn)配置流程進(jìn)行細(xì)化說(shuō)明,為中小壽險(xiǎn)公司未來(lái)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(guó)中小壽險(xiǎn)公司戰(zhàn)略資產(chǎn)配置的實(shí)際應(yīng)用問(wèn)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(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F842.3;F840.4

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