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基于资产负债管理框架下的寿险长期资产结构优化研究

发布时间:2018-05-16 22:27

  本文选题:寿险资产结构 + 资产负债管理 ; 参考:《厦门大学》2014年硕士论文


【摘要】:近几年,我国金融改革进入攻坚阶段。在这个特殊时期,金融利率市场化在打破原有格局的同时造成市场剧烈波动,从而增加了保险公司资产端的利率风险;保险费率市场化从产品竞争的角度提高了负债端的成本,反过来增加了资产端的收益压力。本文从保险资产管理公司寿险组合管理者和市场监管机构的角度出发,研究寿险资产的结构改良和寿险资产配置的决策优化,希望能为我国寿险资产管理业提供一定的参考。 本文首先结合国内外相关经验,分析了寿险资产结构应具备的一些特点,简要阐述了我国保险业资产管理尤其是寿险业资产管理的现状。 其次,本文指出了我国寿险业资产管理可能存在的几个问题:追求短期收益、资产负债管理失位和战术资产配置流程与保险资产管理目标脱节。接下来,还结合最新的监管动态,分析了2013年中国保险资产管理业的新领域——非标资产投资的现状,从该类资产的分类和特点出发,阐述其对于寿险资产管理者的重要性,并从风险防范角度出发揭示该类资产对于寿险投资组合的风险点。 再次,本文结合前文提到的寿险资产管理的三大问题,提出了对应的三条改进思路:关注长期稳定收益、结合资产负债管理框架(ALM)进行战略资产配置和利用贝叶斯思想改进ALM框架下的战术资产配置流程。基于这三条改进思路,本文尝试采用长期资产配置模型、基于ALM的长期资产配置模型和基于Black-Litterman模型的寿险长期资产配置模型来将这些思路嵌入量化分析框架,并使用实证分析方法证明了三条思路的可行性。 最后,本文以三条思路的可行性分析结论及其对比为基础,从监管机构的角度出发,提出了完善非标资产投资监管体系、对细分账户实施差异化管理、增加对冲工具供给和完善寿险产品体系的政策建议;从保险投资机构寿险账户管理者角度出发,提出了关注长期收益、加强资产负债管理、优化战术资产配置流程和积极开拓投资渠道的决策建议。
[Abstract]:In recent years, China's financial reform has entered a critical stage. In this special period, the marketization of financial interest rate not only breaks the original pattern, but also causes the market to fluctuate violently, thus increasing the interest rate risk on the asset side of the insurance company, and the marketization of insurance rate increases the cost of the liability side from the point of view of product competition. This in turn increases the return pressure on the asset side. This paper studies the structure improvement of life insurance assets and the decision optimization of life insurance assets allocation from the point of view of life insurance portfolio managers and market supervisors of insurance asset management companies, hoping to provide some reference for life insurance asset management industry in China. This paper firstly analyzes some characteristics of life insurance asset structure, and briefly expounds the present situation of insurance asset management, especially life insurance asset management in China, based on the relevant experience at home and abroad. Secondly, this paper points out some possible problems in asset management of life insurance industry in China: the pursuit of short-term income, the loss of asset and liability management and the disconnection between tactical asset allocation process and the objective of insurance asset management. Then, according to the latest regulatory developments, this paper analyzes the current situation of non-standard assets investment in China's insurance asset management industry in 2013, and expounds its importance to life insurance asset managers from the classification and characteristics of such assets. From the point of view of risk prevention, this paper reveals the risk point of this kind of assets to life insurance portfolio. Thirdly, combining the three problems of life insurance asset management mentioned above, this paper puts forward three corresponding improvement ideas: pay attention to the long-term stable income, Combined with ALM (Asset liability Management Framework), strategic asset allocation is carried out and the tactical asset allocation process under ALM framework is improved by using Bayesian theory. Based on these three improved ideas, this paper attempts to use the long-term asset allocation model, the long-term asset allocation model based on ALM and the life insurance long-term asset allocation model based on Black-Litterman model to embed these ideas into the quantitative analysis framework. The feasibility of the three ideas is proved by using the empirical analysis method. Finally, based on the feasibility analysis and comparison of three ideas, this paper puts forward the improvement of non-standard assets investment supervision system and the implementation of differentiated management of subdivided accounts from the perspective of regulatory agencies. To increase the supply of hedging tools and improve the life insurance product system, from the point of view of the life insurance account manager of the insurance investment institution, the paper puts forward the following suggestions: focusing on long-term income, strengthening asset and liability management, Optimize the tactical asset allocation process and actively open up investment channels for decision-making suggestions.
【学位授予单位】:厦门大学
【学位级别】:硕士
【学位授予年份】:2014
【分类号】:F842.3

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