中國財產(chǎn)保險公司資產(chǎn)負債管理研究
發(fā)布時間：2018-10-16 22:53
【摘要】：資產(chǎn)負債管理是保險公司的核心內(nèi)容之一,其主要作用是協(xié)調(diào)資產(chǎn)和負債的相互關系,有效降低風險,提高企業(yè)價值。在國外,資產(chǎn)負債管理理論已經(jīng)比較完善,資產(chǎn)負債管理技術不斷豐富,在保險公司的經(jīng)營管理實踐中得到廣泛應用,并取得了理想的效果。在我國,資產(chǎn)負債管理研究起步較晚,雖然通過與國際同行的交流和對我國保險業(yè)自身特點的深入研究,我國保險業(yè)資產(chǎn)負債管理的論著呈現(xiàn)出蓬勃發(fā)展的勢頭,研究范圍不斷擴大,研究方法不斷創(chuàng)新；但從研究對象來看,更多集中于人壽保險、養(yǎng)老保險等長期險種業(yè)務的資產(chǎn)負債管理研究,財產(chǎn)保險的資產(chǎn)負債管理研究相對較少。近年來,我國財產(chǎn)保險行業(yè)快速發(fā)展,資產(chǎn)、負債規(guī)模不斷擴大,但由于受國際國內(nèi)經(jīng)濟形勢、投資環(huán)境變化及保險產(chǎn)品費率市場化等因素的影響,財產(chǎn)保險公司保險業(yè)務和投資業(yè)務經(jīng)營的不確定性和風險增加,客觀要求財產(chǎn)保險公司重視資產(chǎn)負債管理,有效化解公司經(jīng)營風險；與此同時,保監(jiān)會同意財產(chǎn)保險公司有條件地經(jīng)營投資型保險產(chǎn)品,也在一定程度上增加了財產(chǎn)保險公司資產(chǎn)負債管理的難度和復雜性。因此,本文的核心內(nèi)容是構建適合財產(chǎn)保險公司業(yè)務特點的資產(chǎn)負債管理體系：一方面,該體系能實現(xiàn)財產(chǎn)保險公司進行資產(chǎn)負債管理的目的,有效管控公司整體風險,提升企業(yè)的長期價值；另一方面,將資產(chǎn)負債管理與會計準則相結(jié)合,在資產(chǎn)負債管理強調(diào)長期價值提升的同時,關注短期經(jīng)營結(jié)果；通過長短期利益的有機結(jié)合,實現(xiàn)公司的平穩(wěn)運行,實現(xiàn)企業(yè)價值最大化。 本文以財產(chǎn)保險公司的資產(chǎn)負債管理為研究主線,采取了提出問題,分析問題和解決問題的研究思路；主要包括了引言、理論基礎部分、業(yè)務特點探討、資產(chǎn)負債管理實施、結(jié)論建議等五部分內(nèi)容。 第一部分為引言,主要闡述了研究背景、意義及國內(nèi)外研究現(xiàn)狀。隨著業(yè)務的快速發(fā)展,資產(chǎn)和負債規(guī)模迅速擴大,財產(chǎn)保險公司對財務穩(wěn)定性的要求不斷增強；但針對財產(chǎn)保險資產(chǎn)負債管理的研究相對缺位,客觀要求財產(chǎn)保險公司重視資產(chǎn)負債管理,通過研究完善理論及管理技術,降低公司經(jīng)營風險,提升企業(yè)價值。 第二部分是理論基礎部分,即本文的第二章和第三章,包括了資產(chǎn)負債管理的基礎理論、管理模式和主要技術。理論部分重點介紹了資產(chǎn)負債管理的相關理論,包括免疫理論、缺口理論、金融衍生工具理論、動態(tài)管理理論等。管理模式部分對目前比較流行的負債主導、資產(chǎn)主導和并行的資產(chǎn)負債管理模式進行了介紹和比較。資產(chǎn)負債管理技術部分,重點介紹了免疫技術、現(xiàn)金流匹配技術、現(xiàn)金流測試、在險價值(Value at Risk).動態(tài)財務分析。所有這些與資產(chǎn)負債管理相關的基礎理論、技術,為全文的分析和探索奠定了理論基礎。 第三部分是業(yè)務特點探討,即本文第四章、第五章和第六章,包括了財產(chǎn)保險公司的保險業(yè)務構成及特點、投資業(yè)務及監(jiān)管要求,以及保險公司資產(chǎn)和負債的構成及計量。保險資產(chǎn)負債管理研究的重點是資產(chǎn)和負債的匹配問題,研究的出發(fā)點和歸宿為保險資產(chǎn)和負債及其對資產(chǎn)負債管理的影響。財產(chǎn)保險公司負債主要由保險業(yè)務產(chǎn)生,其業(yè)務構成及負債的計量方式直接影響了負債的金額、期限以及對投資收益率的要求；資產(chǎn)主要表現(xiàn)為投資資產(chǎn),資產(chǎn)的內(nèi)部結(jié)構受投資監(jiān)管影響,且與會計計量規(guī)則密切相關。因此,清楚財產(chǎn)保險公司的保險業(yè)務和投資業(yè)務的特點,以及資產(chǎn)、負債的構成和計量,為財產(chǎn)保險公司資產(chǎn)負債管理奠定了業(yè)務基礎。 第四部分是財產(chǎn)保險公司資產(chǎn)負債管理的實施,包括第七章和第八章的相關內(nèi)容。該部分在理論介紹、業(yè)務特點和資產(chǎn)負債構成及計量研究的基礎上,提出了財產(chǎn)保險公司資產(chǎn)負債管理體系的構建思路。該體系包括了決定公司資產(chǎn)負債管理方向的管理模式,影響投資風險及收益的投資管理模式,適合業(yè)務特點的資產(chǎn)負債管理技術及技術的具體運用。本文將動態(tài)財務分析作為財產(chǎn)保險公司的核心資產(chǎn)負債管理技術,對其業(yè)務操作流程、模型框架和主要變量的邏輯結(jié)構進行了重點介紹,并結(jié)合Dynamo3.0動態(tài)財務分析模型探討了變量模型的構建問題。在此基礎上,創(chuàng)造性地提出了短期會計報表結(jié)果和長期價值相結(jié)合的我國財產(chǎn)保險公司動態(tài)財務分析的管理流程；該流程結(jié)合了企業(yè)戰(zhàn)略規(guī)劃、預算管理以及資產(chǎn)負債管理的要求,能從基礎變量出發(fā)得到公司決策相關的經(jīng)營結(jié)果、償付能力以及資產(chǎn)負債匹配的相關信息,有利于公司管理層科學決策。 第五部分是結(jié)論與政策建議,即本文的第九章。這部分總結(jié)了全文的研究成果,并為推動財產(chǎn)保險公司資產(chǎn)負債管理的發(fā)展,從監(jiān)管和企業(yè)自身角度提出了相關建議。監(jiān)管方面的建議：一是建議監(jiān)管部門牽頭,建立較為完善的資產(chǎn)負債管理體系,并從制度上要求各保險主體完善公司治理結(jié)構,建立符合資產(chǎn)負債管理要求的組織架構和運行機制；二是繼續(xù)擴大投資渠道和范圍,并逐步放開投資比例限制,最終讓保險公司根據(jù)自身情況自主配置資產(chǎn)。企業(yè)管理方面的建議：一是在公司償付能力的管理過程中,引入資產(chǎn)負債管理技術,通過資產(chǎn)負債管理與償付能力管理的配合,有效降低公司經(jīng)營風險；二是在公司產(chǎn)品設計、銷售和管理和投資決策過程中運用ALM技術,實現(xiàn)保險和投資的良性互動；三是建立公司內(nèi)部的有效協(xié)調(diào)機制,形成公司領導重視,相關部門參與的運行機制,積極發(fā)揮資產(chǎn)負債管理在企業(yè)風險管理、價值提升方面的作用。
[Abstract]:Asset-liability management is one of the core contents of insurance company. Its main function is to coordinate the relationship between assets and liabilities, effectively reduce risk and improve enterprise value. In foreign countries, the theory of asset-liability management has been improved, asset-liability management technology is constantly enriched, it has been widely used in the practice of insurance company's management and management, and has achieved the ideal effect. In our country, the research of asset-liability management has started relatively late, although through in-depth study on the characteristics of China's insurance industry through the exchange of international peers and the characteristics of China's insurance industry, the thesis of the asset-liability management of our country shows the momentum of vigorous development, the research scope expands unceasingly, the research method is continuous innovation; From the research object, however, more focused on the asset-liability management research of long-term insurance business, such as life insurance, endowment insurance and so on, the asset-liability management research of property insurance is relatively small. In recent years, China's property insurance industry has developed rapidly, assets and liabilities have been expanding continuously, but due to the influence of the international domestic economic situation, the change of investment environment and the marketization of insurance products rate, The uncertainty and risk of insurance business and investment business operation of property insurance company increases objectively. The property insurance company is required to attach importance to asset liability management and effectively solve the business risk of the company. At the same time, it agrees with the property insurance company to operate the investment-type insurance products conditionally. It also increases the difficulty and complexity of asset-liability management of property insurance companies. Therefore, the core content of this paper is to construct the asset liability management system suitable for the business characteristics of property insurance company: on the one hand, the system can realize the purpose of asset liability management of property insurance company, effectively control the whole risk of the company, improve the long-term value of the enterprise; on the other hand, Combining asset-liability management with accounting standards, focusing on short-term management results while emphasizing long-term value promotion in asset-liability management; realizing smooth operation of the company through organically combining long-term benefits, and maximizing enterprise value. This paper takes the asset liability management of property insurance company as the main line of research, and takes the research thought of raising questions, analyzing problems and solving problems. It mainly includes five parts: introduction, theory base, business characteristic, implementation of asset and liability management, conclusion suggestion, etc. The first part is the introduction, which mainly expounds the research background, significance and domestic With the rapid development of the business, the scale of assets and liabilities expands rapidly, the demand of property insurance companies to financial stability is constantly strengthened, but the research on property insurance liability management is relatively vacant, and the property insurance company is required to pay attention to the capital. To reduce the business risk of the company by studying and perfecting the theory and management technology. The second part is the theoretical foundation, that is, the second chapter and the third chapter of this paper, including the basic theory of asset liability management, the pipe The theory part mainly introduces the related theories of asset liability management, including the theory of immune theory, gap theory and financial derivative instruments. Dynamic management theory and so on. The management mode part is the current liability-led, asset-dominated and parallel asset-liability management mode. Introduction and comparison are made. Part of asset liability management technology focuses on immunization technology, cash flow matching technology, cash flow test, and value (Valu). e at Risk). Dynamic financial analysis. All the basic theories and techniques related to asset-liability management are the full-text analysis and exploration. The third part is the discussion of the business characteristics, namely, Chapter 4, Chapter 5 and Chapter 6, which include the insurance business structure and characteristics of the property insurance company, the investment business and the regulatory requirements, and the insurance company. The composition and measurement of assets and liabilities. The focus of insurance asset-liability management research is the matching of assets and liabilities. The starting point and end-result of the study are insurance assets and liabilities. The liability of property insurance company is mainly generated by insurance business, its business structure and measurement mode of liability directly affect the amount, time limit and demand for investment return; assets are mainly represented as investment assets and assets. The internal structure is affected by investment supervision, and It is closely related to accounting metering rules. Therefore, it is clear that the characteristics of insurance business and investment business of property insurance company, as well as the composition and measurement of assets and liabilities, are assets of property insurance company. The fourth part is the implementation of asset liability management of property insurance company. This part, based on the theory introduction, the business characteristics and the composition of assets and liabilities and the measurement research, puts forward the property insurance public The construction method of the division's asset liability management system. The system includes the management mode that determines the management direction of the assets and liabilities of the company, the investment management mode that influences the investment risk and the income, and the assets suitable for the business characteristics. The paper introduces the dynamic financial analysis as the core asset liability management technology of property insurance company, introduces the logic structure of its business operation flow, model frame and main variable, and combines the dynamic financial analysis of Video3. 0. On the basis of this, a management flow of dynamic financial analysis of Chinese property insurance company combining short-term financial statement results and long-term value is creatively put forward. The requirements of management and asset-liability management can be obtained from basic variables, and relevant letter of business result, solvency and asset-liability matching of company decision-making can be obtained. Interest rate is conducive to the scientific decision-making of the management of the company. It is the conclusion and policy suggestion, that is, chapter 9 of this article. This part summarizes the research results of the whole thesis and promotes the development of asset liability management of property insurance company. It puts forward relevant suggestions from the angle of supervision and enterprise itself. Suggestions on supervision: One is to recommend the supervision department to take the lead, establish a perfect asset-liability management system, and ask each insurance entity to perfect the corporate governance structure from the system, and establish the conformity. The organizational structure and operating mechanism required for debt-producing management; two are to continue to expand the investment channel and scope, and gradually release the investment proportion limit, and finally, let the insurance company independently configure the assets according to its own situation. Suggestions on enterprise management: First, in the process of management of the company's solvency, introduce the asset-liability management technology, and through the coordination of asset-liability management and solvency management, effectively reduce in that proces of product design, sales and management and investment decision of the company, the ALM technology is applied to realize the benign interaction of insurance and investment; and III is an effective coordination mechanism within the company, which forms the operational mechanism of the company's leadership and the participation of relevant departments. To play an active role in asset-liability management
【學位授予單位】：南開大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F842.3;F840.4
本文編號：2275879
[Abstract]:Asset-liability management is one of the core contents of insurance company. Its main function is to coordinate the relationship between assets and liabilities, effectively reduce risk and improve enterprise value. In foreign countries, the theory of asset-liability management has been improved, asset-liability management technology is constantly enriched, it has been widely used in the practice of insurance company's management and management, and has achieved the ideal effect. In our country, the research of asset-liability management has started relatively late, although through in-depth study on the characteristics of China's insurance industry through the exchange of international peers and the characteristics of China's insurance industry, the thesis of the asset-liability management of our country shows the momentum of vigorous development, the research scope expands unceasingly, the research method is continuous innovation; From the research object, however, more focused on the asset-liability management research of long-term insurance business, such as life insurance, endowment insurance and so on, the asset-liability management research of property insurance is relatively small. In recent years, China's property insurance industry has developed rapidly, assets and liabilities have been expanding continuously, but due to the influence of the international domestic economic situation, the change of investment environment and the marketization of insurance products rate, The uncertainty and risk of insurance business and investment business operation of property insurance company increases objectively. The property insurance company is required to attach importance to asset liability management and effectively solve the business risk of the company. At the same time, it agrees with the property insurance company to operate the investment-type insurance products conditionally. It also increases the difficulty and complexity of asset-liability management of property insurance companies. Therefore, the core content of this paper is to construct the asset liability management system suitable for the business characteristics of property insurance company: on the one hand, the system can realize the purpose of asset liability management of property insurance company, effectively control the whole risk of the company, improve the long-term value of the enterprise; on the other hand, Combining asset-liability management with accounting standards, focusing on short-term management results while emphasizing long-term value promotion in asset-liability management; realizing smooth operation of the company through organically combining long-term benefits, and maximizing enterprise value. This paper takes the asset liability management of property insurance company as the main line of research, and takes the research thought of raising questions, analyzing problems and solving problems. It mainly includes five parts: introduction, theory base, business characteristic, implementation of asset and liability management, conclusion suggestion, etc. The first part is the introduction, which mainly expounds the research background, significance and domestic With the rapid development of the business, the scale of assets and liabilities expands rapidly, the demand of property insurance companies to financial stability is constantly strengthened, but the research on property insurance liability management is relatively vacant, and the property insurance company is required to pay attention to the capital. To reduce the business risk of the company by studying and perfecting the theory and management technology. The second part is the theoretical foundation, that is, the second chapter and the third chapter of this paper, including the basic theory of asset liability management, the pipe The theory part mainly introduces the related theories of asset liability management, including the theory of immune theory, gap theory and financial derivative instruments. Dynamic management theory and so on. The management mode part is the current liability-led, asset-dominated and parallel asset-liability management mode. Introduction and comparison are made. Part of asset liability management technology focuses on immunization technology, cash flow matching technology, cash flow test, and value (Valu). e at Risk). Dynamic financial analysis. All the basic theories and techniques related to asset-liability management are the full-text analysis and exploration. The third part is the discussion of the business characteristics, namely, Chapter 4, Chapter 5 and Chapter 6, which include the insurance business structure and characteristics of the property insurance company, the investment business and the regulatory requirements, and the insurance company. The composition and measurement of assets and liabilities. The focus of insurance asset-liability management research is the matching of assets and liabilities. The starting point and end-result of the study are insurance assets and liabilities. The liability of property insurance company is mainly generated by insurance business, its business structure and measurement mode of liability directly affect the amount, time limit and demand for investment return; assets are mainly represented as investment assets and assets. The internal structure is affected by investment supervision, and It is closely related to accounting metering rules. Therefore, it is clear that the characteristics of insurance business and investment business of property insurance company, as well as the composition and measurement of assets and liabilities, are assets of property insurance company. The fourth part is the implementation of asset liability management of property insurance company. This part, based on the theory introduction, the business characteristics and the composition of assets and liabilities and the measurement research, puts forward the property insurance public The construction method of the division's asset liability management system. The system includes the management mode that determines the management direction of the assets and liabilities of the company, the investment management mode that influences the investment risk and the income, and the assets suitable for the business characteristics. The paper introduces the dynamic financial analysis as the core asset liability management technology of property insurance company, introduces the logic structure of its business operation flow, model frame and main variable, and combines the dynamic financial analysis of Video3. 0. On the basis of this, a management flow of dynamic financial analysis of Chinese property insurance company combining short-term financial statement results and long-term value is creatively put forward. The requirements of management and asset-liability management can be obtained from basic variables, and relevant letter of business result, solvency and asset-liability matching of company decision-making can be obtained. Interest rate is conducive to the scientific decision-making of the management of the company. It is the conclusion and policy suggestion, that is, chapter 9 of this article. This part summarizes the research results of the whole thesis and promotes the development of asset liability management of property insurance company. It puts forward relevant suggestions from the angle of supervision and enterprise itself. Suggestions on supervision: One is to recommend the supervision department to take the lead, establish a perfect asset-liability management system, and ask each insurance entity to perfect the corporate governance structure from the system, and establish the conformity. The organizational structure and operating mechanism required for debt-producing management; two are to continue to expand the investment channel and scope, and gradually release the investment proportion limit, and finally, let the insurance company independently configure the assets according to its own situation. Suggestions on enterprise management: First, in the process of management of the company's solvency, introduce the asset-liability management technology, and through the coordination of asset-liability management and solvency management, effectively reduce in that proces of product design, sales and management and investment decision of the company, the ALM technology is applied to realize the benign interaction of insurance and investment; and III is an effective coordination mechanism within the company, which forms the operational mechanism of the company's leadership and the participation of relevant departments. To play an active role in asset-liability management
【學位授予單位】：南開大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F842.3;F840.4
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