【摘要】：金融自由化及金融創(chuàng)新發(fā)展條件下,保險公司已經(jīng)愈發(fā)成為資本市場中舉足輕重的機構(gòu)投資者,金融功能已成為保險公司愈發(fā)突出的功能。而激烈的保險競爭環(huán)境下,要維持保險公司在市場環(huán)境中的競爭力,加強保險公司的投資管理,這已然成為各大保險公司必然追求的方向。就目前而言,費差與利差組成的損益是我國保險公司的業(yè)務(wù)利潤來源。而由于保險產(chǎn)品的價格會受到費差的影響,繼而直接影響保險的銷售,因此欲借助費差得到利潤,必然存在很大程度上的限制。此外,受我國加入世貿(mào)組織時承諾兌現(xiàn)的影響,中國的保險市場已有大量外資保險公司開始進入,在愈發(fā)激烈的競爭環(huán)境下,費差會逐步收縮于零甚至達到負值。所以,保險投資才是保險公司利潤的主要獲取來源。受長期以來我國在保險投資渠道方面的限制,就我國保險公司而言,其相當(dāng)大部分資金都是滯壓在銀行中的,而受中國人民銀行調(diào)低利率措施的影響,保險公司在利差方面遭受了大量的損失,對我國保險公司的投資效益產(chǎn)生了嚴(yán)重的影響。 為此,本文首先對保險基金投資的相關(guān)理論進行了概述,主要包括風(fēng)險收益理論、資產(chǎn)組合理論和現(xiàn)代投資理論。其次,分析了外國發(fā)達國家保險投資組合的狀況,包括美國、日本以及韓國,并結(jié)合這些國家的情況,分析了我國保險投資的現(xiàn)狀和問題,并對這些問題進行了原因上的追蹤。然后,以X保險公司投資組合為案例,通過建立馬克維茨組合選擇模型,進行綜合學(xué)分析,并對多目標(biāo)投資組合模型在保險投資中的運用進行探討。最后,結(jié)合上述理論分析和對實踐的借鑒,找出完善X保險公司投資組合的策略建議。主要包括,大力建設(shè)x保險公司的內(nèi)控制度、實施資產(chǎn)混合管理策略、促進投資風(fēng)險的內(nèi)部分散化,以及實施利率免疫技術(shù)對抗投資風(fēng)險。 本文的研究對象是X保險公司投資組合策略,歸納了X保險公司組合投資的各種策略,并重點論述了X保險公司的組合投資策略。同時在國內(nèi)外許多學(xué)者研究的基礎(chǔ)上,做了一些有益的擴展研究和嘗試,在一定方面進行了改進和創(chuàng)新。在保險資金投資研究中,為構(gòu)建組合投資提供系統(tǒng)的解決方案,提出了保險資金的選擇標(biāo)準(zhǔn)和組合投資方法的選擇。同時也給出了保險資金組合投資績效評價的指標(biāo)和方法。
[Abstract]:Under the conditions of financial liberalization and financial innovation, insurance companies have become more and more important institutional investors in the capital market, and financial functions have become increasingly prominent functions of insurance companies. Under the intense insurance competition environment, to maintain the insurance company's competitive power in the market environment and strengthen the insurance company's investment management, this has already become the inevitable direction that each big insurance company pursues. At present, the profit and loss of spread and interest rate is the source of business profit of insurance companies in our country. And because the price of insurance products will be affected by the difference of fees, and then directly affect the sale of insurance, so there is bound to be a great degree of restriction in order to obtain profit from the difference of insurance fees. In addition, due to the impact of China's entry into WTO, a large number of foreign insurance companies have begun to enter the insurance market of China. Under the increasingly fierce competition environment, the fee difference will gradually shrink to zero or even reach negative value. Therefore, insurance investment is the main source of profits for insurance companies. Because of the long-standing restrictions on insurance investment channels in China, as far as the insurance companies in China are concerned, a large part of their funds are stagnant in the banks and affected by the measures of lowering interest rates by the people's Bank of China. Insurance companies have suffered a large number of losses in the spread, which has a serious impact on the investment efficiency of insurance companies in China. Therefore, this paper firstly summarizes the related theories of insurance fund investment, including risk-return theory, portfolio theory and modern investment theory. Secondly, this paper analyzes the situation of insurance portfolio in foreign developed countries, including the United States, Japan and South Korea, and analyzes the current situation and problems of insurance investment in China according to the situation of these countries, and makes a follow-up on the reasons for these problems. Then, taking X insurance company's portfolio as an example, through the establishment of Markowitz portfolio selection model, a comprehensive analysis is carried out, and the application of multi-objective portfolio model in insurance investment is discussed. Finally, combined with the above theoretical analysis and practical reference, find out the X insurance companies to improve the investment portfolio of the strategy recommendations. It mainly includes the construction of x insurance company's internal control system, the implementation of asset mix management strategy, the promotion of internal diversification of investment risk, and the implementation of interest rate immunity technology against investment risk. The research object of this paper is the portfolio strategy of X insurance company, the various strategies of X insurance company portfolio investment are summarized, and the portfolio investment strategy of X insurance company is discussed emphatically. At the same time, on the basis of the research of many scholars at home and abroad, we have done some beneficial expansion research and attempt, and have carried on the improvement and the innovation in a certain aspect. In the research of insurance fund investment, this paper puts forward the selection criteria of insurance fund and the choice of portfolio investment method in order to provide a systematic solution to the construction of portfolio investment. At the same time, it also gives the index and method of the performance evaluation of insurance portfolio investment.
【學(xué)位授予單位】：華東理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F842.3;F274

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