保险资金投资基础设施探讨
摘要
我国恢复保险以来，业务日新月异，保费收入连续增长；但另一个需要正视是现实是保险资金的投资难题：保险资金投资过度集中于银行存款和国债，巨额保险资金过多暴露于利率风险之下；货币市场利率连续下调、资本市场长期疲软导致保险资金投资收益能力不足。著名经济学家厉以宁将“保险投资收益低下”列为我国保险业面临的两大挑战之一。
经过研究和探讨，开辟新的投资渠道成为解决保险资金投资难题的唯一选择。在此背景下，基础设施因其风险低、回报相对稳定的特色引起大家的关注。文章在分析我国基础设施基本状况的基础上，对保险资金的介入进行了可行性论证，大胆提出保险资金投资基础设施有利于投资难题的解决。
为了使论点具有说服力，文章采用了两种不同的方法对基本观点进行支持。
第4章首先采用静态方法对保险资金投资组合策略问题进行研究。基于Markowiz理论的传统模型采用均值、方差和相关系数描述相关变量，对某一时段上的资产进行优化组合。验证了保险资金投资基础设施的可行性，证实了基础设施投资有利于保险资金投资收益性和安全性的基本观点。
在第5章中采用了动态财务的分析方法，它是针对均值／方差模型的弊端而提出的。动态财务方法的使用，完成了局部到全局、静态到动态的转变；实现了在更广阔的框架内，以动态的观点研究保险资金投资问题。研究过程建立在复杂的FIRM~(TM)系统之上，通过建立随机微分方程和使用层叠结构达到模拟经济变量、生成相关情景和分析风险因素的目的，最终论证和支持了保险资金投资基础设施可行的观点。
本文的创新主要体现在以下两个方面：
在综合我国保险资金运用现状和相关理论探讨的基础上，多角度论证开拓保险资金基础设施投资渠道的观点。
引入了动态财务的分析方法。在介绍动态财务模型架构的基础上，尝试将此方法运用于保险资金投资策略的研究。
Since the resume of insurance business in our country, we have experienced a rapid developing stage, and is growing up with everyday passing-by. But something is disturbing us, and what? The declining returns from investments. Newly published Insurance law has an eye on this matter. Trying to develop new investment channel seems to be the only way out, and we debate a lot of this topic. Infrastructure, a rapid developing area, such comes into our view sights. The basic viewpoint in this article is that infrastructure could be a new investment channel of insurance cash flows, and the following parts are trying to improve this.
Section 1, the brief introduction of the topic backgrounds, main literature datum and writing frame, is the basement of following sections. Section 2 gives a general description of our country's insurance capital investments. From comparison with developed countries, we can find the main problems that confront us at the moment. Developing new investment channels is the solution. Section 3, based on infrastructure analyzing, aims at proving the feasibility of putting insurance capital into infrastructure. Section 4 adopts the tradition mean / variance standard model to research capital investment tactics. And this comes into the forceful support of the "insurance capital investment in infrastructure" viewpoint. Section 5 adopts the dynamic financial analysis (DFA) to research the issue of insurance capital investment. Swiss Re's FIRM?(Falcon Integrated Risk Management) is both a powerful tool and excellent frame of DFA, all the research of investment tactics is established on this frame. By means of stochastic differential equation and the use of a cascade structure, inflation results, equity returns, credit spreads, as well as assets class are simulated; and the premium, loss and expense cash flows can also be projected. To reconcile the model results to forecasted profit and loss statements, assumptions regarding taxes, premium collection patterns, and various other items are also required. Using FIRM?system to support the idea of insurance capital investment in infrastructure is an ideal way to take.
The main innovations in this essay cover two areas :
1. On the description of our country's insurance capital investments, developing infrastructure as a new investment channels is a solution of the investment trouble.
2. Trying to use DFA under FIRM?system in investment strategies analysis.
经过研究和探讨，开辟新的投资渠道成为解决保险资金投资难题的唯一选择。在此背景下，基础设施因其风险低、回报相对稳定的特色引起大家的关注。文章在分析我国基础设施基本状况的基础上，对保险资金的介入进行了可行性论证，大胆提出保险资金投资基础设施有利于投资难题的解决。
为了使论点具有说服力，文章采用了两种不同的方法对基本观点进行支持。
第4章首先采用静态方法对保险资金投资组合策略问题进行研究。基于Markowiz理论的传统模型采用均值、方差和相关系数描述相关变量，对某一时段上的资产进行优化组合。验证了保险资金投资基础设施的可行性，证实了基础设施投资有利于保险资金投资收益性和安全性的基本观点。
在第5章中采用了动态财务的分析方法，它是针对均值／方差模型的弊端而提出的。动态财务方法的使用，完成了局部到全局、静态到动态的转变；实现了在更广阔的框架内，以动态的观点研究保险资金投资问题。研究过程建立在复杂的FIRM~(TM)系统之上，通过建立随机微分方程和使用层叠结构达到模拟经济变量、生成相关情景和分析风险因素的目的，最终论证和支持了保险资金投资基础设施可行的观点。
本文的创新主要体现在以下两个方面：
在综合我国保险资金运用现状和相关理论探讨的基础上，多角度论证开拓保险资金基础设施投资渠道的观点。
引入了动态财务的分析方法。在介绍动态财务模型架构的基础上，尝试将此方法运用于保险资金投资策略的研究。
Since the resume of insurance business in our country, we have experienced a rapid developing stage, and is growing up with everyday passing-by. But something is disturbing us, and what? The declining returns from investments. Newly published Insurance law has an eye on this matter. Trying to develop new investment channel seems to be the only way out, and we debate a lot of this topic. Infrastructure, a rapid developing area, such comes into our view sights. The basic viewpoint in this article is that infrastructure could be a new investment channel of insurance cash flows, and the following parts are trying to improve this.
Section 1, the brief introduction of the topic backgrounds, main literature datum and writing frame, is the basement of following sections. Section 2 gives a general description of our country's insurance capital investments. From comparison with developed countries, we can find the main problems that confront us at the moment. Developing new investment channels is the solution. Section 3, based on infrastructure analyzing, aims at proving the feasibility of putting insurance capital into infrastructure. Section 4 adopts the tradition mean / variance standard model to research capital investment tactics. And this comes into the forceful support of the "insurance capital investment in infrastructure" viewpoint. Section 5 adopts the dynamic financial analysis (DFA) to research the issue of insurance capital investment. Swiss Re's FIRM?(Falcon Integrated Risk Management) is both a powerful tool and excellent frame of DFA, all the research of investment tactics is established on this frame. By means of stochastic differential equation and the use of a cascade structure, inflation results, equity returns, credit spreads, as well as assets class are simulated; and the premium, loss and expense cash flows can also be projected. To reconcile the model results to forecasted profit and loss statements, assumptions regarding taxes, premium collection patterns, and various other items are also required. Using FIRM?system to support the idea of insurance capital investment in infrastructure is an ideal way to take.
The main innovations in this essay cover two areas :
1. On the description of our country's insurance capital investments, developing infrastructure as a new investment channels is a solution of the investment trouble.
2. Trying to use DFA under FIRM?system in investment strategies analysis.
引文
[1] 陆百甫．新时期宏观经济走势．新形式下的保险资金运用：开放与投资安全．北京：中国人民大学出版社，2003，32-42
[2] 吴小平．保险业与资本市场的互动关系．新形式下的保险资金运用：开放与投资安全．北京：中国人民大学出版社，2003，47-50
[3] 唐运祥．中国非寿险市场发展研究报告(2002)．北京：中国金融出版社，2003，176-198
[4] 江生中．中国保险业发展报告(2003)．天津：南开大学出版社，2003
[5] 申曙光．中国保险投资问题研究．广州：广东经济出版社，2002
[6] 张洪涛．开放与投资安全．新形式下的保险资金运用：开放与投资安全．北京：中国人民大学出版社，2003，56-84
[7] 王连洲．保险基金对发展机构投资者作用．新形式下的保险资金运用：开放与投资安全．北京：中国人民大学出版社，2003，124-131
[8] 卓志，邬润龙．保险资金投资城市基建的探索．新形式下的保险资金运用：开放与投资安全．北京：中国人民大学出版社，2003，175-186
[9] 朱会冲，张燎．基础设施项目投融资理论与实务．上海：复旦大学出版社，2002，1-17
[10] Richard A. Brealey, Stewart C Myers. Principles of Corporate Finance. Graw-Hill, 2002, 187-199
[11] Roger Kaufmann, Andreas Gadmer and Ralf Klett. Introduction to Dynamic Financial Analysis. In: Dynamic Financial Analysis Call Papers, 2000, 1-10
[12] A.Eric Thorlacius. Issues in Simulation of Economic Variables and Asset Returns for Dynamic Financial Analysis. In: Dynamic Financial Analysis Call Papers, 1999, 5-7
[13] Salvator Correnti, Stephen M. Sonlin, Daniel B.Isaac. Applying a DFA Model to Improve Strategy. In: Dynamic Financial Analysis Call Papers, 1998, 3-10
[14] John M. Mulvey, Chris K. Madsen, Francois Morin. Linking Strategic and Tactical Planning Systems for Dynamic Financial Analysis Surplus. CAS, 1998, 155-158
[15] Gerald S. Kirschner. A Cost/Benefit of Alternative Investment Strategies Using DFA Tools. In: Dynamic Financial Analysis Call Papers, 2000, 8-13
[16] Elizabeth R. Wiesner, Charles C. Emma. A Dynamic Financial Analysis
Application Linked to Corporate Strategy. In: Dynamic Financial Analysis Call Papers, 2000
[17] 中国保监会．保险规章制度汇编．北京：中国民主法制出版社，2003
[18] 连永安．金融与保险．南京：东南大学出版社，2003，40-56
[19] 程希骏，胡达可．金融投资数理分析．合肥：安徽科学技术出版社，2001，202-205
[20] 乔利剑，刘悦，李海秀．保险投资与资本市场．中国保险业发展报告2003天津：南开大学出版社，2003，176-185
[21] 李琼，周德新，钱晓勤．中国保险市场金融工具配置．武汉：武汉大学出版社，2002，50-65
[22] 王一佳，马泓，陈秉正．寿险公司风险管理．北京：中国金融出版社，2003，160-209
[23] 邵秉仁．全国小城镇试点改革政策要揽．吉林：吉林文史出版社，2000
[24] 沈立人．地方政府的经济职能和经济行为．上海：上海远东出版社，1998
[25] 沈建国．新世纪中国城市化道路的探索．北京：中国建筑工业出版社，2001，43-55
[26] 卓志．保险经营风险防范机制研究．成都：西南财经大学出版社，1997
[27] 文忠桥，曾刚，王芳等．信用风险度量与管理——违约率研究．国际金融研究，2002(11)：20-24
[28] 许谨良．保险学原理．上海：上海财经大学出版社，1997，379-380
[29] 朱俊生．投资收益率下降值得注意．金融时报，2002，(6)：21
[30] 陈迪红，潘竟成．保险公司动态财务分析初探．财经理论与实践，2002，(2)，72-74
[31] DFA Research Handbook. Casualty Actuary Society Dynamic Financial Analysis website, http://www.casact.org/RESEARCH/DFA
[32] Boyle, P. Immunization under Stochastic Models of Term Structure. Journal of the Institute Actuaries, 1979, 11-13
[33] Vincent T. Rowland, Frank S. Conde. Dynamic Financial Analysis Issues in Investment Portfolio Management. In: Dynamic Financial Analysis Call Papers, 1996
[34] Overview of Dynamic Financial Analysis. The Dynamic Financial Analysis Committee of the Casualty Actuary Society,1999, 7-8
[35] 潘竟成．保险公司动态财务分析：[湖南大学硕士学位论文]．长沙：湖南大学金融学院，2003，15-24
[36] Society of Actuary. New Frontiers in Asset/Liability Management. Valuation
Actuary Symposium Proceedings, 1998, 8-11
[37] Stephen W. Philbrick, Robert A. Painter. DFA Insurance Company Case, Part Ⅱ: Capital Adequacy and Capital Allocation. In: Dynamic Financial Analysis Call Papers, 1999, 105
[38] Shaun Wang. A Set of New Methods and Tools for Enterprise Risk Capital Management and Portfolio Optimization. In: Dynamic Financial Analysis Call Papers, 2002
[39] 滕宏伟．券商资产管理业务市场风险的度量与管理研究：[湖南大学硕士学位论文]．长沙：湖南大学金融学院，2003，25-26
[40] 滋维．博迪等．投资学．北京：机械工业出版，2000，185-188
[41] Adam's Mark St. Louis Missouri. Incorporating Risk Factors in Dynamic Finanial Analysis. In: Dynamic Financial Analysis Call Papers, 1995
[42] Allan M. Kaufman, Thomas A. Ryan. Strategic Asset Allocation for Multi-Line Insurers Using Dynamic Financial Analysis.Dynamic Financial Analysis Call Papers, 2000, 4-5
[43] Richard Wayne Corveit. Dynamic Financial Analysis of Property-Liability Insurance Companies. [PhD in Finance in Graduate School of the University of Illinois]. Urbana: 1998, 73-91
[44] Manuel Almagro, Stephan M. Soulin. An approach to Evaluating Asset Allocation Strategies for Property/Casualty Insurance Companies. In: Discussion on Dynamic Financial Analysis, 1995
[2] 吴小平．保险业与资本市场的互动关系．新形式下的保险资金运用：开放与投资安全．北京：中国人民大学出版社，2003，47-50
[3] 唐运祥．中国非寿险市场发展研究报告(2002)．北京：中国金融出版社，2003，176-198
[4] 江生中．中国保险业发展报告(2003)．天津：南开大学出版社，2003
[5] 申曙光．中国保险投资问题研究．广州：广东经济出版社，2002
[6] 张洪涛．开放与投资安全．新形式下的保险资金运用：开放与投资安全．北京：中国人民大学出版社，2003，56-84
[7] 王连洲．保险基金对发展机构投资者作用．新形式下的保险资金运用：开放与投资安全．北京：中国人民大学出版社，2003，124-131
[8] 卓志，邬润龙．保险资金投资城市基建的探索．新形式下的保险资金运用：开放与投资安全．北京：中国人民大学出版社，2003，175-186
[9] 朱会冲，张燎．基础设施项目投融资理论与实务．上海：复旦大学出版社，2002，1-17
[10] Richard A. Brealey, Stewart C Myers. Principles of Corporate Finance. Graw-Hill, 2002, 187-199
[11] Roger Kaufmann, Andreas Gadmer and Ralf Klett. Introduction to Dynamic Financial Analysis. In: Dynamic Financial Analysis Call Papers, 2000, 1-10
[12] A.Eric Thorlacius. Issues in Simulation of Economic Variables and Asset Returns for Dynamic Financial Analysis. In: Dynamic Financial Analysis Call Papers, 1999, 5-7
[13] Salvator Correnti, Stephen M. Sonlin, Daniel B.Isaac. Applying a DFA Model to Improve Strategy. In: Dynamic Financial Analysis Call Papers, 1998, 3-10
[14] John M. Mulvey, Chris K. Madsen, Francois Morin. Linking Strategic and Tactical Planning Systems for Dynamic Financial Analysis Surplus. CAS, 1998, 155-158
[15] Gerald S. Kirschner. A Cost/Benefit of Alternative Investment Strategies Using DFA Tools. In: Dynamic Financial Analysis Call Papers, 2000, 8-13
[16] Elizabeth R. Wiesner, Charles C. Emma. A Dynamic Financial Analysis
Application Linked to Corporate Strategy. In: Dynamic Financial Analysis Call Papers, 2000
[17] 中国保监会．保险规章制度汇编．北京：中国民主法制出版社，2003
[18] 连永安．金融与保险．南京：东南大学出版社，2003，40-56
[19] 程希骏，胡达可．金融投资数理分析．合肥：安徽科学技术出版社，2001，202-205
[20] 乔利剑，刘悦，李海秀．保险投资与资本市场．中国保险业发展报告2003天津：南开大学出版社，2003，176-185
[21] 李琼，周德新，钱晓勤．中国保险市场金融工具配置．武汉：武汉大学出版社，2002，50-65
[22] 王一佳，马泓，陈秉正．寿险公司风险管理．北京：中国金融出版社，2003，160-209
[23] 邵秉仁．全国小城镇试点改革政策要揽．吉林：吉林文史出版社，2000
[24] 沈立人．地方政府的经济职能和经济行为．上海：上海远东出版社，1998
[25] 沈建国．新世纪中国城市化道路的探索．北京：中国建筑工业出版社，2001，43-55
[26] 卓志．保险经营风险防范机制研究．成都：西南财经大学出版社，1997
[27] 文忠桥，曾刚，王芳等．信用风险度量与管理——违约率研究．国际金融研究，2002(11)：20-24
[28] 许谨良．保险学原理．上海：上海财经大学出版社，1997，379-380
[29] 朱俊生．投资收益率下降值得注意．金融时报，2002，(6)：21
[30] 陈迪红，潘竟成．保险公司动态财务分析初探．财经理论与实践，2002，(2)，72-74
[31] DFA Research Handbook. Casualty Actuary Society Dynamic Financial Analysis website, http://www.casact.org/RESEARCH/DFA
[32] Boyle, P. Immunization under Stochastic Models of Term Structure. Journal of the Institute Actuaries, 1979, 11-13
[33] Vincent T. Rowland, Frank S. Conde. Dynamic Financial Analysis Issues in Investment Portfolio Management. In: Dynamic Financial Analysis Call Papers, 1996
[34] Overview of Dynamic Financial Analysis. The Dynamic Financial Analysis Committee of the Casualty Actuary Society,1999, 7-8
[35] 潘竟成．保险公司动态财务分析：[湖南大学硕士学位论文]．长沙：湖南大学金融学院，2003，15-24
[36] Society of Actuary. New Frontiers in Asset/Liability Management. Valuation
Actuary Symposium Proceedings, 1998, 8-11
[37] Stephen W. Philbrick, Robert A. Painter. DFA Insurance Company Case, Part Ⅱ: Capital Adequacy and Capital Allocation. In: Dynamic Financial Analysis Call Papers, 1999, 105
[38] Shaun Wang. A Set of New Methods and Tools for Enterprise Risk Capital Management and Portfolio Optimization. In: Dynamic Financial Analysis Call Papers, 2002
[39] 滕宏伟．券商资产管理业务市场风险的度量与管理研究：[湖南大学硕士学位论文]．长沙：湖南大学金融学院，2003，25-26
[40] 滋维．博迪等．投资学．北京：机械工业出版，2000，185-188
[41] Adam's Mark St. Louis Missouri. Incorporating Risk Factors in Dynamic Finanial Analysis. In: Dynamic Financial Analysis Call Papers, 1995
[42] Allan M. Kaufman, Thomas A. Ryan. Strategic Asset Allocation for Multi-Line Insurers Using Dynamic Financial Analysis.Dynamic Financial Analysis Call Papers, 2000, 4-5
[43] Richard Wayne Corveit. Dynamic Financial Analysis of Property-Liability Insurance Companies. [PhD in Finance in Graduate School of the University of Illinois]. Urbana: 1998, 73-91
[44] Manuel Almagro, Stephan M. Soulin. An approach to Evaluating Asset Allocation Strategies for Property/Casualty Insurance Companies. In: Discussion on Dynamic Financial Analysis, 1995