【作者】 林炫圻；

【导师】 邱立成；

【作者基本信息】 南开大学 ， 世界经济， 2013， 博士

【摘要】 根据国外保险市场发展规律来看,保险业发展往往伴随着宏观经济环境的变化而发生周期性的改变,在周期性变化过程中呈现出一定的规律性,随着未来市场份额竞争的日趋激烈,保险公司的发展将逐渐从大力发展保险产品向提升保险资金的投资运用能力转变。也就是说,保险公司未来的发展将越来越重视保险资金投资运用业务。有鉴于此,中国保险业未来发展应将资金运用业务放到战略高度加以把握,在积极拓宽保险资金运用渠道基础上,控制好投资风险,提高保险资金的投资收益率。本文首先对保险资金运用和风险管理的国内外文献进行了整理,对现代投资组合理论、风险管理理论、在险价值VaR分析法,作了较为系统的阐述,为中国保险资金运用于资本市场问题的研究提供理论依据,将保险公司保费定价、投资运作与风险控制融合在一个统一的视阂中,进行监控。具体而言,找出中国保险业收益率下降困境的表现,归类为保险市场发展过快、资本市场产品不足、及对风险管理的理念不足造成收益率下降。为期能对中国保险资金运用提供借鉴,一方面总结分析发达国家在保险资金投资运用的成功经验,如美国：对保险资金的安全性要求较高；设立一般账户和独立账户,将风险高的资产分离。英国：投资结构比较特殊,以股票为主、宽松的监管,但是英国拥有发达的保险业、成熟的资本市场、高效的监管。日本：保险资金投资房地产市场一定要慎重；应该更加重视利率风险；加强“反周期”预警。另一方面,借鉴文化血缘语言相近台湾在保险资金运用方面的成功经验,通过Markowitz的资产组合理论,以保险业的保险资金运用为例进行了实证研究,从风险矩阵中发现：与人寿保险基金资产的原投资标的的相关性极低,境外投资有分散风险的作用,但应注意汇兑风险及避险成本；项目运用及公共投资项目,有分散风险的作用,但需另考虑报酬率水平及稳定的现金流量。通过数据收集和模型应用对保险资金投资组合优化深入研究,重点考察了流动性、市场利率和系统性风险对保险资金投资的影响程度和决定因素。最后,本文使用在险价值VaR分析法系统分析了保险投资的风险,研究了保险资金投资用的风险管理测算工具、风险传导机制和防范及治理措施。对中国保险资金投资运用优化组合和风险管理建设性建议并对未来的研究方向做出了展望。更多还原

【Abstract】 According to the law of the development of foreign insurance market point of view, the development of the insurance industry is often accompanied by changes in the macroeconomic environment and the occurrence of periodic change, has a certain regularity in the periodic variation in the process, with the future market competition is becoming increasingly fierce, the insurance company’s development will gradually develop insurance products to promote insurance the ability to use the funds investment. That is to say, the insurance company future development will be more and more attention to business investment of insurance funds. In view of this, the funds should be used in strategic business to grasp the future development of China’s insurance industry, actively broaden the insurance fund investment channel basis, control investment risk, increase the rate of return on investment of insurance funds.Firstly, I sort out the literatures of insurance funds and risk management which covering domestic and foreign area. In order to provide a theoretical basis for the study, I collected and elaborated the modern portfolio theory, risk management theory and VaR analysis system systematically. This is the purpose to solve the problems of the application of insurance funds that occurred in the China’s capital market. Especially, I try to put Insurance product pricing、insurance funds’investment and risk management in a window for observing.Secondly, based on the present situation and problems of China’s insurance funds utilization basis, I found that the income is not high and the risk is too high. By summarizing and analyzing the successful experience of the United States of America, British, Japanese and Taiwan investment in the use of insurance funds, in order to provide reference for China’s insurance funds utilization. This paper took insurance funds application as a case study and went through in-depth analysis of the Markowitz’s portfolio theory.Furthermore, to the insurance fund investment portfolio optimization research, I went through data collection and model application. It reveals the main factors of the investment of insurance funds utilization. This paper also focused more on the effects of degree and decided to liquidity, market interest rates and the systemic risk of insurance funds investment factors.Finally, this study used the VaR to analyze the insurance funds investment risk. And I also studied the risk management measure tool, risk conduction mechanism and prevention and governance measures for the same purpose. The objective is to give constructive suggestions for China’s insurance funds investment in portfolio optimization and best risk management. The last but not the least is to prospect the future research direction.更多还原