我国寿险资金投资结构的最优比例研究
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摘要
寿险投资是指寿险公司利用收取保费和保险金给付的时间差,将暂时闲置手中的寿险资金投资于国家认可的投资渠道,以获得收益的一种经济活动。从国际寿险业的发展趋势来看,寿险业竞争的加剧使得寿险公司的承保利润不断下降,寿险投资的重要性日益凸显,投资利润已成为寿险公司的主要利润来源。但与国外发达国家相比,我国寿险资金的投资收益率仍处于较低水平,这已严重掣肘了我国寿险业的健康发展。我国寿险资金投资收益率偏低的一个非常重要的原因是寿险资金投资的比例不合理,因此,如何优化寿险资金运用的资产结构、提高投资回报水平,已成为各大寿险公司关注的焦点。
本文共分四个部分。第一章引言部分阐述了为何要进行本文的研究,并回顾了国内外相关的文献。第二章先是对寿险资金的来源和性质进行简要分析,然后对国内外寿险资金资产配置情况进行了较全面的比较,并指出我国寿险资金投资结构中存在的问题,进而提出对现有寿险投资比例进行优化的必要性。第三章重点研究我国寿险资金投资的最优比例。先是简单介绍了条件风险价值(即CVaR)与均值-CVaR模型,指出均值—CVaR模型在寿险投资中的适用性。接着构建含无风险资产的,以一定收益率水平下CVaR最小化为目标的寿险资金投资组合优化模型,并选择国债、企业债、证券投资基金、股票和银行存款作为投资组合中主要的资产类别,从而根据上述资产的历史收益率数据测算出不同预期收益水平下我国寿险资金投资的最优比例。将理论结果与实际投资比例进行比较分析,得出大致的比例优化趋势是：减少银行存款的投资比例,增加企业债和证券投资基金的比例。在文章最后,借鉴国际经验,立足我国现实,提出优化我国寿险投资的若干政策性建议,以期推动我国寿险投资的创新和发展。
Life insurance investment is a sort of economical activities, which life insurance funds are invested in the regulatory permissible means to gain income, in the period between payment insurance and insurance indemnity. Life insurance investment becomes more and more important, as the life insurance competition picks up, looked from the international life insurance industry development tendency. Life insurance company's profit mainly comes from investment, along with the depression of accepting insurance profit. However, compared with developed countries, the investing profit of life insurance funds is still under a lower level in our country. It has restricted the healthy development of the life insurance industry seriously. One of the most important reasons is the investment structure is illogical. Consequently, how to perfect the pattern of domestic life insurance investment and improve the investment revenue becomes a crucial topic of life insurers.
This paper itself is divided into four parts. The Introduction not only sets forth the necessity for the research here but also reviews the related documents both at home and abroad. Chapter 2, firstly introduces the sources and the natures of life insurance funds. Then, the article compares asset allocation of domestic life insurance industry with that of foreign ones, and points out the problems in structure of investment. Further, it poses the need for optimizing the existing investment proportion. Chapter 3, the article emphasizes on the study of the optimal proportion of life insurance investment. Firstly, it introduces the conditional Value-at-Risk (CVaR) and Mean-CVaR model briefly and proposes the applicability of the Mean-CVaR model in the investment portfolio of the life insurance funds. In addition, based on minimizing the objective of CVaR with determined rate of return, optimal investment portfolio model of life insurance funds is established and discussed, which contains the risk-free asset. The article chooses the national debt, enterprise bond, securities fund, stock and deposit as the primary investing manners in the life insurance investing. According to the historical investment yield of these assets, the optimal investment proportion of Chinese life insurance companies at different expecting profit is calculated. It compares the theoretical portfolios of life insurance companies and those in reality, then obtains the general trends of optimization is reducing the proportion of deposit; increasing the proportion of securities fund and stock. In the end of the article, using the experience of others for reference and basing upon our country's present situation, the author put forward proposals in policy to perfect the investment in life insurance industry. All of these are beneficial to the innovation and development of investment in life insurance.
本文共分四个部分。第一章引言部分阐述了为何要进行本文的研究,并回顾了国内外相关的文献。第二章先是对寿险资金的来源和性质进行简要分析,然后对国内外寿险资金资产配置情况进行了较全面的比较,并指出我国寿险资金投资结构中存在的问题,进而提出对现有寿险投资比例进行优化的必要性。第三章重点研究我国寿险资金投资的最优比例。先是简单介绍了条件风险价值(即CVaR)与均值-CVaR模型,指出均值—CVaR模型在寿险投资中的适用性。接着构建含无风险资产的,以一定收益率水平下CVaR最小化为目标的寿险资金投资组合优化模型,并选择国债、企业债、证券投资基金、股票和银行存款作为投资组合中主要的资产类别,从而根据上述资产的历史收益率数据测算出不同预期收益水平下我国寿险资金投资的最优比例。将理论结果与实际投资比例进行比较分析,得出大致的比例优化趋势是：减少银行存款的投资比例,增加企业债和证券投资基金的比例。在文章最后,借鉴国际经验,立足我国现实,提出优化我国寿险投资的若干政策性建议,以期推动我国寿险投资的创新和发展。
Life insurance investment is a sort of economical activities, which life insurance funds are invested in the regulatory permissible means to gain income, in the period between payment insurance and insurance indemnity. Life insurance investment becomes more and more important, as the life insurance competition picks up, looked from the international life insurance industry development tendency. Life insurance company's profit mainly comes from investment, along with the depression of accepting insurance profit. However, compared with developed countries, the investing profit of life insurance funds is still under a lower level in our country. It has restricted the healthy development of the life insurance industry seriously. One of the most important reasons is the investment structure is illogical. Consequently, how to perfect the pattern of domestic life insurance investment and improve the investment revenue becomes a crucial topic of life insurers.
This paper itself is divided into four parts. The Introduction not only sets forth the necessity for the research here but also reviews the related documents both at home and abroad. Chapter 2, firstly introduces the sources and the natures of life insurance funds. Then, the article compares asset allocation of domestic life insurance industry with that of foreign ones, and points out the problems in structure of investment. Further, it poses the need for optimizing the existing investment proportion. Chapter 3, the article emphasizes on the study of the optimal proportion of life insurance investment. Firstly, it introduces the conditional Value-at-Risk (CVaR) and Mean-CVaR model briefly and proposes the applicability of the Mean-CVaR model in the investment portfolio of the life insurance funds. In addition, based on minimizing the objective of CVaR with determined rate of return, optimal investment portfolio model of life insurance funds is established and discussed, which contains the risk-free asset. The article chooses the national debt, enterprise bond, securities fund, stock and deposit as the primary investing manners in the life insurance investing. According to the historical investment yield of these assets, the optimal investment proportion of Chinese life insurance companies at different expecting profit is calculated. It compares the theoretical portfolios of life insurance companies and those in reality, then obtains the general trends of optimization is reducing the proportion of deposit; increasing the proportion of securities fund and stock. In the end of the article, using the experience of others for reference and basing upon our country's present situation, the author put forward proposals in policy to perfect the investment in life insurance industry. All of these are beneficial to the innovation and development of investment in life insurance.
引文
[1]孟昭亿.保险资金运用国际比较[M].中国金融出版社,2005.
[2]魏巧琴.保险投资风险管理的国际比较与中国实践[M].同济大学出版社,2005.
[3]吴跃平.中国寿险资金运用风险研究[M].中国金融出版社,2006.
[4]张树德.MATLAB金融计算与金融数据处理[M].北京航空航天出版社,2008.
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[2]魏巧琴.保险投资风险管理的国际比较与中国实践[M].同济大学出版社,2005.
[3]吴跃平.中国寿险资金运用风险研究[M].中国金融出版社,2006.
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[1]安实,张炀,陈剑平.基于差异系数σ/u的人寿保险公司最优投资组合方法[J].管理工程学报,2003(3)：99-101.
[2]陈学华,韩兆州,唐珂.基于VaR和RAROC的保险基金最优投资研究[J].数量经济技术经济研究,2006,4：111-117.
[3]陈金龙,张维.CVaR与投资组合优化统一模型[J].系统工程理论方法应用,2002,3：68-71.
[4]崔斌.保险资金投资组合的管理模式[J].保险研究,2004，8：31-34.
[5]丁立刚,唐俊.CVaR约束下最优投资组合[J].内蒙古大学学报,2007，9：481-484.
[6]段善雨.我国保险资金的运用渠道及其风险管理[J].经济经纬,2007，4：143-146.
[7]高尚学,李丽.浅议我国寿险资金运用[J].特区经济,2005，3：263-264.
[8]郭金龙,胡宏兵.保险资金运用的国际考察[J].保险研究,2009，9.
[9]郭文旌,雷鸣.跳跃盈余下的保险最优投资[J].兰州大学学报,2008，8：118-122.
[10]何琳洁,文凤华,马超群.基于一致性风险价值的投资组合优化模型[J].湖南大学学报,2005,32(4)：127-130.
[11]黄向阳,陈学华,杨辉耀.基于条件风险价值的投资组合优化模型[J].西南交通大学学报,2004,8：511-515.
[12]金勇德,赵磊.日韩保险资金运用对中国的启示[J].生产力研究,2008，20：95-97.
[13]景明利,张峰,杨纯涛.金融风险度量VaR与CVaR方法的比较研究及应用[J].统计与信息论坛,2006,9：84-87.
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