本文選題：投資組合模型 + 破產(chǎn)概率��； 參考：《東華大學(xué)》2014年碩士論文

【摘要】：保險(xiǎn)公司的收益不僅僅依賴于保險(xiǎn)業(yè)務(wù),還依賴于保險(xiǎn)資金的投資業(yè)務(wù)。金融市場(chǎng)的多樣性和金融資產(chǎn)收益的不確定性,加劇了保險(xiǎn)資金投資風(fēng)險(xiǎn)。保險(xiǎn)資金投資組合的構(gòu)建關(guān)系到投資收益,還影響保險(xiǎn)公司的償付能力。將承保風(fēng)險(xiǎn)問題與投資組合問題結(jié)合在一起研究,屬于一類特殊的組合投資問題。近幾年來,同時(shí)考慮承保風(fēng)險(xiǎn)和投資風(fēng)險(xiǎn)的投資組合問題的研究逐漸受到關(guān)注。 長(zhǎng)期以來,我國(guó)保險(xiǎn)資金投資面臨收益低且不穩(wěn)定、結(jié)構(gòu)不合理和渠道不完善等問題,影響了保險(xiǎn)公司償付能力建設(shè),制約了保險(xiǎn)業(yè)的可持續(xù)發(fā)展。2012年“13項(xiàng)新政”在一定程度上放開了保險(xiǎn)資金投資渠道和投資比例限制,2013年10月保監(jiān)會(huì)《關(guān)于加強(qiáng)和改進(jìn)保險(xiǎn)資金運(yùn)用比例監(jiān)管的通知(征求意見稿)》進(jìn)一步明確了保險(xiǎn)資金相關(guān)投資政策,新政使保險(xiǎn)資金投資結(jié)構(gòu)優(yōu)化決策面臨著新的機(jī)遇和挑戰(zhàn)。因此,在我國(guó)現(xiàn)行特殊的投資環(huán)境下,通過構(gòu)建保險(xiǎn)資金投資組合來提高投資收益,成為理論界與實(shí)務(wù)界的研究熱點(diǎn)。 本文從理論和實(shí)踐兩個(gè)方面研究了我國(guó)保險(xiǎn)資金的投資組合優(yōu)化問題。建立了不同約束的模型并給出相應(yīng)投資組合的最優(yōu)策略,在此基礎(chǔ)上,針對(duì)壽險(xiǎn)公司和財(cái)產(chǎn)險(xiǎn)公司,分別從承保收益、理賠風(fēng)險(xiǎn)和投資增值能力三方面提出分別針對(duì)壽險(xiǎn)資金和財(cái)產(chǎn)險(xiǎn)資金投資風(fēng)險(xiǎn)管理建議。最后,通過實(shí)證研究對(duì)比研究政策變化和投資人偏好變化的結(jié)果差異分析出投資比例對(duì)投資決策的影響,對(duì)比發(fā)達(dá)國(guó)家資金的運(yùn)用現(xiàn)狀,從監(jiān)管、保險(xiǎn)公司和保險(xiǎn)行業(yè)三個(gè)層面提出我國(guó)保險(xiǎn)資金投資收益水平提升的對(duì)策。具體來說,本文的主要工作如下： (1)針對(duì)壽險(xiǎn)資金投資的安全性、收益性、流動(dòng)性和匹配性等性質(zhì),研究了壽險(xiǎn)資金的投資組合問題,基于經(jīng)典的Cramer-Lundberg風(fēng)險(xiǎn)模型,考慮投資比例和承保收益的影響,提出了包含正負(fù)風(fēng)險(xiǎn)過程的連續(xù)時(shí)間投資組合模型、包含雙邊跳風(fēng)險(xiǎn)過程的連續(xù)時(shí)間投資組合模型和包含二元風(fēng)險(xiǎn)過程的連續(xù)時(shí)間投資組合模型,求解出了有效投資策略和有效邊界的解析表達(dá)式。根據(jù)提出的三類模型,分別從承保收益、理賠風(fēng)險(xiǎn)和投資增值能力三個(gè)方面給出壽險(xiǎn)資金投資風(fēng)險(xiǎn)管理問題的建議。 (2)考慮財(cái)產(chǎn)險(xiǎn)資金投資的流動(dòng)性風(fēng)險(xiǎn)、信用風(fēng)險(xiǎn)、政策風(fēng)險(xiǎn)和操作風(fēng)險(xiǎn)的風(fēng)險(xiǎn)特性,針對(duì)財(cái)務(wù)險(xiǎn)資金的投資組合問題,考慮投資比例和承保收益的影響,提出了線性收入約束下離散風(fēng)險(xiǎn)的投資組合模型和隨機(jī)收入約束下離散風(fēng)險(xiǎn)投資組合模型,求解出了隨機(jī)收入約束下的有效投資策略和有效邊界的解析表達(dá)式。根據(jù)提出的投資組合模型,從承保、理賠和投資三個(gè)核心變量角度給出財(cái)產(chǎn)險(xiǎn)資金投資風(fēng)險(xiǎn)管理問題的建議。 (3)基于提出的連續(xù)時(shí)間投資組合模型,考慮在我國(guó)現(xiàn)有的政策許可和市場(chǎng)條件限制下,通過實(shí)證分析,研究政策變化和投資人偏好變化對(duì)投資決策的影響,并對(duì)比發(fā)達(dá)國(guó)家資金的運(yùn)用現(xiàn)狀,從監(jiān)管、保險(xiǎn)公司和保險(xiǎn)行業(yè)三個(gè)層面提出提升保險(xiǎn)資金風(fēng)險(xiǎn)管理水平的對(duì)策。
[Abstract]:The income of insurance companies depends not only on insurance business , but also on the investment business of insurance funds . The diversification of financial markets and the uncertainty of financial asset returns aggravate the investment risk of insurance funds . The construction of the portfolio of insurance funds is related to the investment income and also affects the solvency of insurance companies .

For a long time , China ' s insurance capital investment is confronted with the problems of low return and unstable structure , unreasonable structure and imperfect channel , which influences the sustainable development of insurance industry .

This paper studies the optimization of the portfolio optimization of insurance funds in China from two aspects : theory and practice .

( 1 ) Based on the characteristics of safety , profitability , liquidity and matching of investment in life insurance funds , the paper studies the portfolio problem of life insurance funds . Based on the classic Cramer - Lundberg risk model , considering the influence of investment proportion and underwriting profit , a continuous time investment portfolio model containing positive and negative risk processes , continuous time investment portfolio model containing double risk process and continuous time investment portfolio model containing binary risk process are proposed , and the analytical expression of effective investment strategy and effective boundary is proposed . According to the proposed three types of models , the proposal of risk management of life insurance capital investment is given from three aspects of underwriting profit , settlement risk and investment appreciation ability , respectively .

( 2 ) Considering the liquidity risk , the credit risk , the policy risk and the risk characteristic of the capital investment in property insurance , considering the influence of the investment proportion and the underwriting profit , the paper puts forward the portfolio model of the discrete risk under the linear revenue constraint and the discrete venture capital portfolio model under the stochastic income constraint , and solves the effective investment strategy and the analytic expression of the effective boundary under the stochastic income constraint . According to the proposed portfolio model , the proposal of the investment risk management of property insurance funds is given from the angle of underwriting , settlement and investment .

( 3 ) Based on the proposed continuous time portfolio model , consider the impact of policy changes and investor preference changes on investment decision - making under the existing policy and market conditions in our country , and compare the current situation of the utilization of funds in developed countries , and put forward the countermeasures to improve the risk management level of insurance funds from three aspects of supervision , insurance company and insurance industry .
【學(xué)位授予單位】：東華大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.48

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 邵雪焱;祁明亮;徐飛;;多風(fēng)險(xiǎn)控制目標(biāo)下的資產(chǎn)配置模型[J];系統(tǒng)工程;2012年03期

2 張明善;姚s，

本文編號(hào)：1905081