本文選題：保險(xiǎn)投資 + 資金運(yùn)用　； 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：在我國(guó)保險(xiǎn)業(yè)蓬勃發(fā)展的30年中,保費(fèi)規(guī)模以每年20%以上的復(fù)合增長(zhǎng)率快速增長(zhǎng),而每年沉淀下來(lái)的保費(fèi)逐漸形成了規(guī)模龐大的可運(yùn)用保險(xiǎn)資金,因此伴隨著保費(fèi)規(guī)模的增長(zhǎng),如何合理運(yùn)用保險(xiǎn)資金成為了保險(xiǎn)業(yè)健康發(fā)展至關(guān)重要的問(wèn)題。而保險(xiǎn)公司不同于一般的投資機(jī)構(gòu),保險(xiǎn)資金作為一種負(fù)債在需要未來(lái)承擔(dān)保險(xiǎn)金給付和損失賠償?shù)呢?zé)任,商業(yè)養(yǎng)老保險(xiǎn)和大病醫(yī)療保險(xiǎn)等險(xiǎn)種更是關(guān)系到社會(huì)穩(wěn)定和國(guó)計(jì)民生,確保保險(xiǎn)資金的安全性是保險(xiǎn)投資的首要原則。然而,在我國(guó)金融創(chuàng)新和混業(yè)經(jīng)營(yíng)加速的大背景下,各種高收益理財(cái)產(chǎn)品的出現(xiàn)越來(lái)越多地?cái)D占了原有保險(xiǎn)產(chǎn)品的市場(chǎng)份額,保險(xiǎn)公司需要以更高的內(nèi)在收益率重新吸引有保險(xiǎn)需求的消費(fèi)者。如何平衡保險(xiǎn)投資收益和風(fēng)險(xiǎn)的關(guān)系,如何在追求更高收益的同時(shí)將風(fēng)險(xiǎn)維持在可控范圍內(nèi),本文試通過(guò)梳理保險(xiǎn)投資資產(chǎn)配置風(fēng)險(xiǎn)理論,以及基于在險(xiǎn)價(jià)值方法的實(shí)證分析兩方面來(lái)探尋這一問(wèn)題的答案。 本文的主要行文思路為,以保險(xiǎn)資金運(yùn)動(dòng)的內(nèi)在特征為起點(diǎn),結(jié)合我國(guó)保險(xiǎn)投資的歷史沿革和發(fā)展現(xiàn)狀,提出現(xiàn)階段我國(guó)保險(xiǎn)企業(yè)投資配置中面臨的最主要風(fēng)險(xiǎn),即利率風(fēng)險(xiǎn)與市場(chǎng)風(fēng)險(xiǎn)。對(duì)保險(xiǎn)企業(yè)來(lái)說(shuō),管理利率風(fēng)險(xiǎn)最有效的方法為資產(chǎn)負(fù)債匹配技術(shù),而管理市場(chǎng)風(fēng)險(xiǎn)基于VaR的風(fēng)險(xiǎn)管理模型則更具可操作性。完成對(duì)不同風(fēng)險(xiǎn)管理理論的梳理后,本文重點(diǎn)選取了中國(guó)人壽保險(xiǎn)公司為研究對(duì)象,綜合運(yùn)用VaR模型與RAROC指標(biāo)對(duì)其風(fēng)險(xiǎn)控制能力進(jìn)行綜合評(píng)價(jià)。VaR方法可以運(yùn)用于保險(xiǎn)公司對(duì)投資風(fēng)險(xiǎn)的評(píng)估,建立對(duì)投資績(jī)效的評(píng)價(jià)體系,通過(guò)實(shí)證研究筆者充分驗(yàn)證了VaR模型在實(shí)際運(yùn)用中的可操作性和風(fēng)險(xiǎn)管理時(shí)的清晰含義,并據(jù)此對(duì)保險(xiǎn)投資監(jiān)管提出三點(diǎn)建議。 本文的創(chuàng)新之處在于,通過(guò)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(guó)保險(xiǎn)企業(yè)資金運(yùn)用情況；運(yùn)用VaR方法從歷史及行業(yè)兩個(gè)維度對(duì)上市保險(xiǎn)公司投資組合的市場(chǎng)風(fēng)險(xiǎn)暴露進(jìn)行評(píng)價(jià),并在此過(guò)程中充分展現(xiàn)以VaR方法管理風(fēng)險(xiǎn)的優(yōu)勢(shì)；最后,本文針對(duì)目前對(duì)保險(xiǎn)投資監(jiān)管不夠靈活有效的問(wèn)題,大膽提出了以VaR方法改進(jìn)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(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F842;F832.48

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