本文選題：保險投資 + 資金運用　； 參考：《復旦大學》2013年碩士論文

【摘要】：在我國保險業(yè)蓬勃發(fā)展的30年中,保費規(guī)模以每年20%以上的復合增長率快速增長,而每年沉淀下來的保費逐漸形成了規(guī)模龐大的可運用保險資金,因此伴隨著保費規(guī)模的增長,如何合理運用保險資金成為了保險業(yè)健康發(fā)展至關重要的問題。而保險公司不同于一般的投資機構,保險資金作為一種負債在需要未來承擔保險金給付和損失賠償?shù)呢熑?商業(yè)養(yǎng)老保險和大病醫(yī)療保險等險種更是關系到社會穩(wěn)定和國計民生,確保保險資金的安全性是保險投資的首要原則。然而,在我國金融創(chuàng)新和混業(yè)經(jīng)營加速的大背景下,各種高收益理財產(chǎn)品的出現(xiàn)越來越多地擠占了原有保險產(chǎn)品的市場份額,保險公司需要以更高的內(nèi)在收益率重新吸引有保險需求的消費者。如何平衡保險投資收益和風險的關系,如何在追求更高收益的同時將風險維持在可控范圍內(nèi),本文試通過梳理保險投資資產(chǎn)配置風險理論,以及基于在險價值方法的實證分析兩方面來探尋這一問題的答案。 本文的主要行文思路為,以保險資金運動的內(nèi)在特征為起點,結合我國保險投資的歷史沿革和發(fā)展現(xiàn)狀,提出現(xiàn)階段我國保險企業(yè)投資配置中面臨的最主要風險,即利率風險與市場風險。對保險企業(yè)來說,管理利率風險最有效的方法為資產(chǎn)負債匹配技術,而管理市場風險基于VaR的風險管理模型則更具可操作性。完成對不同風險管理理論的梳理后,本文重點選取了中國人壽保險公司為研究對象,綜合運用VaR模型與RAROC指標對其風險控制能力進行綜合評價。VaR方法可以運用于保險公司對投資風險的評估,建立對投資績效的評價體系,通過實證研究筆者充分驗證了VaR模型在實際運用中的可操作性和風險管理時的清晰含義,并據(jù)此對保險投資監(jiān)管提出三點建議。 本文的創(chuàng)新之處在于,通過跟蹤大量數(shù)據(jù)和整理最新監(jiān)管政策,較全面地展現(xiàn)了目前我國保險企業(yè)資金運用情況；運用VaR方法從歷史及行業(yè)兩個維度對上市保險公司投資組合的市場風險暴露進行評價,并在此過程中充分展現(xiàn)以VaR方法管理風險的優(yōu)勢；最后,本文針對目前對保險投資監(jiān)管不夠靈活有效的問題,大膽提出了以VaR方法改進監(jiān)管體系的政策建議。
[Abstract]:In the 30 years of vigorous development of insurance industry in our country, the scale of insurance premium has increased rapidly with the compound growth rate of more than 20% per year, and the insurance premium deposited every year has gradually formed a large scale of available insurance funds, so it is accompanied by the increase of the scale of insurance premium. How to make rational use of insurance funds has become a crucial issue for the healthy development of the insurance industry. The insurance company is different from the general investment institution. As a kind of liability, the insurance fund should bear the liability of insurance payment and loss compensation in the future. Commercial old-age insurance and medical insurance for serious illness are related to social stability and national economy and people's livelihood. To ensure the safety of insurance funds is the primary principle of insurance investment. However, under the background of financial innovation and the acceleration of mixed operation in China, the emergence of various kinds of high-yield financial products is increasingly squeezing out the market share of the original insurance products. Insurers need to reattract consumers with higher internal rates of return. How to balance the relationship between insurance investment income and risk, how to keep the risk under control while pursuing higher income, this paper tries to sort out the risk theory of insurance investment asset allocation. And based on the empirical analysis of the value of risk approach to explore the answer to this question. The main ideas of this paper are: taking the inherent characteristics of insurance fund movement as the starting point, combining with the history and development of insurance investment in our country, the paper puts forward the most important risks in the investment allocation of insurance enterprises in our country at the present stage. Interest rate risk and market risk. For insurance enterprises, the most effective way to manage interest rate risk is asset-liability matching technology, and the risk management model based on VaR is more operable. After combing different risk management theories, this paper focuses on the Chinese life insurance companies as the research object. The comprehensive evaluation of risk control ability of VaR model and RAROC index can be used to evaluate the investment risk of insurance company and establish the evaluation system of investment performance. The author fully verifies the feasibility of VaR model in practical application and the clear meaning of risk management through empirical research, and puts forward three suggestions on insurance investment supervision. The innovation of this paper is that, by tracking a large number of data and sorting out the latest regulatory policies, the paper comprehensively shows the current situation of the use of funds of insurance enterprises in China; This paper uses VaR method to evaluate the market risk exposure of listed insurance companies' portfolios from the historical and industry dimensions, and fully demonstrates the advantages of using the VaR method to manage risks in the process. Aiming at the problem that the supervision of insurance investment is not flexible and effective at present, this paper puts forward some policy suggestions on how to improve the supervision system by VaR method.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F842;F832.48

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本文編號：1935216