资本约束下保险公司最优大类资产配置模型研究
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摘要
中国第二代偿付能力监管制度体系(以下简称"偿二代")执行以后,投资风险直接体现在资本要求上,资本充足率成为保险公司投资决策的重要约束。在此背景下,保险公司有必要建立整体经济资本预算框架,通过提高各类资产的边际资本回报率,提升公司股东价值。本文通过理论研究证明资本约束下保险公司最优大类资产配置的路径首先是进行负债风险匹配资产的管理,其次才是追求盈余资产收益最大化,同时,本文创新性提出了三阶段的数值求解方法,填补了国内文献以及保险公司实践中难以前置化资本约束得到大类资产配置数值解的研究空白。
After the adoption of C-ROSS,investment risk has been directly mapped on to capital requirements,causing the solvency adequacy an important constraint for insurer's investment decisions. Under this circumstance,it is essential for insurance companies to establish the economic capital budget framework and maximize the shareholders' interests through improving marginal returns of various types of assets. This paper was to prove that optimizing asset allocation for insurance companies under the constraint of capital requirement should prioritize matching assets with liability risks,then maximize returns of surplus assets. This paper innovatively proposed a three-step numerical method and filled in the gap of advancing capital requirement constraints for asset allocation which had an important theoretical and practical significance.
After the adoption of C-ROSS,investment risk has been directly mapped on to capital requirements,causing the solvency adequacy an important constraint for insurer's investment decisions. Under this circumstance,it is essential for insurance companies to establish the economic capital budget framework and maximize the shareholders' interests through improving marginal returns of various types of assets. This paper was to prove that optimizing asset allocation for insurance companies under the constraint of capital requirement should prioritize matching assets with liability risks,then maximize returns of surplus assets. This paper innovatively proposed a three-step numerical method and filled in the gap of advancing capital requirement constraints for asset allocation which had an important theoretical and practical significance.
引文
[1] 段国圣.资本约束下的保险公司最优资产配置:模型及路径[J].财贸经济,2012,(8):73-79.
[2] 王灵芝.“偿二代”体系下保险资产配置策略及效率评估[J].保险研究,2016,(10):89-101.
[3] 朱日峰.财险公司资产负债管理的比较分析——基于动态偿付能力监管的国际视角[J].技术经济与管理研究,2017,(2):98-103.
[4] Amenc N,Martellini L,Foulquier P,Sender S.The Impact of IFRS and Solvency II on Asset-liability Management and Asset Management in Insurance Companies[J].EDHEC-RISK Report,November,2006.
[5] Braun A,Schmeiser H,Schreiber F.Solvency II's Market Risk Standard Formula:How Credible Is the Proclaimed Ruin Probability[J].Journal of Insurance Issues,2015,38(1):1-30.
[6] Braun A,Schmeiser H,Schreiber F.Portfolio Optimization under Solvency II:Implicit Constraints Imposed by the Market Risk Standard Formula[J].The Journal of Risk and Insurance,2015.
[7] Fischer K,Schlütter S.Optimal Investment Strategies for Insurance Companies when Capital Requirements are Imposed by a Standard Formula[J].The Geneva Risk and Insurance Review,2015,40(1):15-40.
[8] Gatzert N,Martin M.Quantifying Credit and Market Risk Under Solvency II:Standard Approach Versus Internal Model[J].Insurance:Mathematics and Economics,2012,51(3):649-666.
[9] Gatzert N,Schmeiser H.Combining Fair Pricing and Capital Requirements for Non-life Insurance Companies[J].Journal of Banking and Finance,2008,32(12):0-2596.
[10] Herold U.Computing Implied Returns in a Meaningful Way[J].Journal of Asset Management,2005,6(1):53-64.
[11] H?ring D.Will Solvency II Market Risk Requirements Bite?The Impact of Solvency II on Insurers’ Asset Allocation[J].The Geneva Papers on Risk and Insurance Issues and Practice,2013,38(2):250-273.
[12] Mittnik S.Solvency II Calibrations:Where Curiosity Meets Superiority[J].Working Paper,University of Munich,Center for Quantitative Risk Analysis,2011.
[13] Van Bragt D,Kort D J.Liability-Driven Investing for Life Insurers[J].The Geneva Papers on Risk and Insurance Issues and Practice,2011,36(1):30-49.
[14] Van Bragt D,Steehouwer H,Waalwijk B.Market Consistent ALM for Life Insurers—Steps toward Solvency II[J].The Geneva Papers on Risk and Insurance Issues and Practice,2010,35(1):92-109.
[15] Yow S,Sherris M.Enterprise Risk Management,Insurer Value Maximisation,and Market Frictions[J].ASTIN Bulletin,2008,38(01):293-339.
[2] 王灵芝.“偿二代”体系下保险资产配置策略及效率评估[J].保险研究,2016,(10):89-101.
[3] 朱日峰.财险公司资产负债管理的比较分析——基于动态偿付能力监管的国际视角[J].技术经济与管理研究,2017,(2):98-103.
[4] Amenc N,Martellini L,Foulquier P,Sender S.The Impact of IFRS and Solvency II on Asset-liability Management and Asset Management in Insurance Companies[J].EDHEC-RISK Report,November,2006.
[5] Braun A,Schmeiser H,Schreiber F.Solvency II's Market Risk Standard Formula:How Credible Is the Proclaimed Ruin Probability[J].Journal of Insurance Issues,2015,38(1):1-30.
[6] Braun A,Schmeiser H,Schreiber F.Portfolio Optimization under Solvency II:Implicit Constraints Imposed by the Market Risk Standard Formula[J].The Journal of Risk and Insurance,2015.
[7] Fischer K,Schlütter S.Optimal Investment Strategies for Insurance Companies when Capital Requirements are Imposed by a Standard Formula[J].The Geneva Risk and Insurance Review,2015,40(1):15-40.
[8] Gatzert N,Martin M.Quantifying Credit and Market Risk Under Solvency II:Standard Approach Versus Internal Model[J].Insurance:Mathematics and Economics,2012,51(3):649-666.
[9] Gatzert N,Schmeiser H.Combining Fair Pricing and Capital Requirements for Non-life Insurance Companies[J].Journal of Banking and Finance,2008,32(12):0-2596.
[10] Herold U.Computing Implied Returns in a Meaningful Way[J].Journal of Asset Management,2005,6(1):53-64.
[11] H?ring D.Will Solvency II Market Risk Requirements Bite?The Impact of Solvency II on Insurers’ Asset Allocation[J].The Geneva Papers on Risk and Insurance Issues and Practice,2013,38(2):250-273.
[12] Mittnik S.Solvency II Calibrations:Where Curiosity Meets Superiority[J].Working Paper,University of Munich,Center for Quantitative Risk Analysis,2011.
[13] Van Bragt D,Kort D J.Liability-Driven Investing for Life Insurers[J].The Geneva Papers on Risk and Insurance Issues and Practice,2011,36(1):30-49.
[14] Van Bragt D,Steehouwer H,Waalwijk B.Market Consistent ALM for Life Insurers—Steps toward Solvency II[J].The Geneva Papers on Risk and Insurance Issues and Practice,2010,35(1):92-109.
[15] Yow S,Sherris M.Enterprise Risk Management,Insurer Value Maximisation,and Market Frictions[J].ASTIN Bulletin,2008,38(01):293-339.