【作者】 李晓宇；

【导师】 田新民；

【作者基本信息】 首都经济贸易大学 ， 数量经济学， 2014， 博士

【摘要】 近几年，我国保险投资收益在保险利润收入中的地位不断攀升，超越了承保利润，成为其收入的主要来源。但是我国保险资金运用起步较晚，资金运用水平仅达到西方发达国家20世纪七八十年代的状态，2010年以来，我国保险投资收益在逐年下降，且低于同期的五年期定期存款利率。保险资金运用的低效率正逐步突显出来，长此以往，将会影响到保险公司的偿付能力和保险业的健康发展，甚至整个经济的健康运行。鉴于此，本文根据保险资金运用两阶段的特殊性，从广义的角度对我国保险资金运用效率进行研究，分析低效率的特点和影响效率的因素，有针对性地对效率进行改进。本文主要做了三个方面的研究：一是通过对现有评价方法的比较，从广义的保险资金运用角度，根据现有方法的不足，对资源型两阶段DEA模型进行改进，并利用主成分分析法和改进的模型对保险资金运用效率进行实证分析，结果显示：我国保险资金运用整体效率水平较低，且处于逐年下降的状态；与人身险相比，财产险效率较低；效率非有效的根源来自两子阶段的低效率。二是通过对回归模型的比较，根据效率取值的特点，选取Tobit模型对影响保险资金运用效率因素进行实证分析，研究结果发现：公司成立时间、营销员占比、资产管理专业化和短期投资占比对保险资金运用效率影响为正，除短期投资占比外，其它因素均显著。三是从资金收集和资金运用两个阶段对效率改进策略进行研究。在资金收集阶段：通过聚类分析方法对目标客户进行准确定位，实证研究发现：不同客户群对保险产品的需求空间不同，可以实行有针对性的分类销售，缩短促成时间，提高工作效率；通过引入客户需求、同业竞争和替代产品三大外部因素来构建改进的保险产品定价模型，并进行实证分析，结果显示：改进的模型可实现差异化定价，其定价结果较传统模型定价结果更符合实际需求。差异化定价可提高公司产品竞争力，增加客户关注率，提升公司知名度，扩大业务收入。在资金运作阶段：通过采用改进的马可维茨模型，对2008-2012年中国人寿投资组合结构进行研究，发现中国人寿的投资组合达到了最优配置比例；通过将面板数据模型引入到逆DEA模型中，构建改进的逆DEA模型，以2006-2012年我国46家保险公司为样本，对最优投资收益率进行预测，结果显示：效率值越低，预测值与实际值的偏离越大。资金运作阶段的两种策略，既可以影响保险资金运作阶段效率，也可以通过提高保险投资收益来影响保险产品定价，从而间接改进保险资金收集阶段效率。更多还原

【Abstract】 In recent years, China’s insurance investment income is becoming the main source of the insuranceincome,the position of which is rising in the insurance profits income and beyond the underwriting profit.But the use of insurance funds start lately in China,which only reached the level of the seventies and eightiesof the20th century in the state of Western developed countries, since2010, our insurance investment incomehas decreased year by year,and is lower than the five-year time deposit rate for the same period. Theinefficient of the insurance funds utilization is gradually stand out, which will affect the solvency of theinsurance company and the healthy development of the insurance industry at the long run, even the healthyoperation of the economy. In view of this, based on a two-stage specificity of insurance funds, this paper willstudy the efficiency of the use of insurance funds from a broader perspective，analyze the characteristics oflow efficiency and factors affecting efficiency, improve efficiency targetedly.This paper studies mainly three aspects:First, by comparing with the existing evaluation methods, this paper improves the resource-basedtwo-stage model from a broad angle of the insurance funds utilization,which base on the deficiencies of theexisting methods, analyzes the efficiency of insurance funds utilization from the empirical perspective useingthe principal component analysis and improved models, the reasults shows that: the overall efficiency ofinsurance funds utilization is low and keep in a declining state year by year, the efficiency of the lifeinsurance is higher than the efficiency of the property insurance, the root of the inefficiency is come from thetwo sub-phases.Second, by comparing the regression model, this paper selects the Tobit model which bases on thecharacteristics of the efficiency values. analyzes the factors affecting the efficiency from the empiricalperspective, the reasults shows it is position on the impact of Established、the ratio of marketers、short-terminvestments Ratio and the asset management specialization,sometimes, except for short-term investmentsratio, other factors were significant.Third, this paper studies the strategy to improve the efficiency from the funds collected and funds usedphase. In funds collected phase: the target customers accurately located by cluster analysis method, theempirical findings: the different customer demand differently for insurance products, the targeted segmentsales can be implemented, which will shorten the time to promote and make efficiency improve; theimproved insurance product pricing models is built by introducing three major external factors includingcustomer demand, competition and alternative products, the empirical finding shows:the improved pricingmodel can make differential pricing achieved,which is more consistent with actuality. Differential pricingcan improve the competitiveness of our products, which will increase the rate of customer focus, enhance thecompany’s reputation and improve the efficiency of the fund collection phase. In funds used stage: theportfolio structure of China Life Insurance is studied using the improved Markowitz mode during the year of2008-2012, the result shows that China Life Insurance’s investment portfolio achieves the optimal allocationratio; the improved inverse DEA model is built by introding the panel data model into inverse DEA model,ittake46insurance companies as samples to predict the optimal investment yield during2006to2012, theresults show: the lower the value,the farthe deviate from the predicted return rate. The efficiency of theinsurance fund collection phase and the efficiency of the insurance fund used phase can be influenced by twostrategy in the insurance fund used phase.更多还原