我国保险资金运用问题研究

【作者】 李亚敏；

【导师】 许少强；

【作者基本信息】 复旦大学 ， 金融学， 2007， 博士

【摘要】 保险经营活动往往伴随着宏观经济环境的变化而发生周期性的改变。当保险市场上的风险保障需求超过保险公司对风险保障承保能力的供给时，承保业务收益是保险经营活动的主要利润来源；当保险市场对风险保障的需求小于保险公司对风险保障的承保能力时，保险公司争夺市场份额的竞争可能引起保险费率水平的降低，进而可能导致承保业务出现亏损，这时保险投资收益就会超过承保收益而成为保险经营的最主要利润来源。也就是说，保险公司的承保业务和资金运用业务作为保险公司利润的两个主要来源，在不同的经济发展阶段，发挥着不同的作用。总的来看，随着保险公司的相互竞争导致的费率水平压低，以及投保人对保险保障作用期望值的提高，保险公司的承保业务利润将会逐渐缩小，进而可能影响到保险公司的生存。这就必然要求保险公司转向资金运用业务寻求利润来源。同时，我国加入WTO之后，国内保险业逐渐对外开放，外资保险公司在中国的业务领域已经逐渐从承保业务扩展到了资金运用业务，包括QFII在内的资金运用机制已经逐渐形成，这将为中国保险公司资金运用业务提供经验借鉴。今后及未来的一段时间，是我国国民经济发展的重要时期，也是我国保险业发展变化的重要时期，关于保险资金运用的总体要求是：深化保险资金运用体制改革，推进保险资金专业化、规范化、市场化运作。根据国民经济发展的需求，不断拓宽保险资金运用的渠道和范围，充分发挥保险资金长期性和稳定性的优势，为国民经济建设提供资金支持。可见，保险资金运用问题已经引起了我国保险理论界与实务界的普遍关注。我国保险公司如何提高资金运用水平，保险资金如何参与资本市场的运作，以实现资金运用的“安全性”、“收益性”与“流动性”的统一是本文研究的中心问题。本文首先对保险资金运用的国内外文献进行了整理，对现代投资组合理论作了较为系统的阐述，为我国保险资金运用于资本市场问题的研究提供理论依据：对于保险资金运用的收益——风险分析借鉴了Markowitz的资产组合理论。Markowitz资产组合理论将投资资产分为无风险收益资产与风险收益资产，将资金运用的风险与收益变量纳入同一模型，以统一的视角思考风险与收益的关系。目前，我国保险公司的资金运用正在由以银行存款和国债等无风险资产为主的模式向银行存款、债券、基金、股票等多种无风险资产和风险资产的组合运用为主的模式转变，为指导保险资金运用于资本市场的风险收益分析提供了思路与方法。当保险资金运用范围扩展到基金、股票等风险较大的资本市场工具时，必然带来风险的增加。对于风险的管理，本文对风险管理中的在险价值VaR(Value at Risk)分析法作了较为系统的介绍，对于中国保险资金在债券、股票及证券投资基金等渠道的投资实践，VaR将是非常合适的风险分析方法。其次，本文回顾了我国保险资金运用的历史，剖析了我国保险资金运用的现状，指出了目前我国保险资金运用中存在的收益不高、风险过大等问题，从“安全性”、“收益性”与“流动性”的视角，考察了保险资金在资本市场中的运用，提出了“大力推进保险资金在资本市场的运作是解决目前我国保险资金运用中效率不高、风险过大问题的有效手段”这一观点，进而对保险资金运用于资本市场的必要性与方式进行研究。随着保险资金运用渠道及比例的不断放开，保险资金运用于资本市场可选择的投资工具包括股票、债券与基金，资金运用方式包括直接入市和间接入市，两者在保险资金运用的“安全性”、“收益性”与“流动性”方面呈现出不同的特点。在对平安保险资金运作案例的研究中，分析了平安保险资金投资渠道与收益率水平两方面，通过比较平安保险投资收益率与中国保险业投资平均收益率水平，发现平安保险取得的良好投资成绩与其资金在资本市场的良好运作密切相关。接着，本文对保险资金进入资本市场的绩效评估模型进行了研究，对Treynor(1965)、Sharpe(1966)及Jensen(1968)的三个指数模型为代表的单因素模型以及多因素模型进行了分析，据此建立符合中国国情的保险资金运用的次高低模型、风险收益弹性模型、最小二乘模型、市场绩效指数的绩效评估模型。在对保险资金直接入市的最优投资组合模型进行研究时，分别介绍了考虑承保风险的投资比例模型、基于差异系数的最优投资比例组合模型和满足VaR限制的保险资金最优投资组合模型。同时指出资金运用绩效与保险公司资金管理组织模式之间存在着密切关系。在对我国保险资金运用于资本市场的绩效进行实证分析时，Granger因果检验结果表明：我国资本市场流通市值与我国保险资金收益率之间存在因果关系。因此，在大力发展资本市场的基础上，应不断开放保险资金运用于资本市场的渠道，提高资金投资于资本市场的比例，选择适合的投资策略，建立最优投资组合是十分必要的。与此同时，进一步完善资本市场“退出”机制的建设，不断加强保险公司主动性的投资组合选择及策略调整，在保证“安全性”和“流动性”的基础上，提高保险资金运用于资本市场的绩效，具有十分重要的意义。最后，本文系统分析了保险投资的风险，给出了以Markowitz理论中β值为基础的风险度量方法，通过保险资金运用于资本市场的风险传导机制研究，揭示了保险公司对于资金运用风险应从资本市场和公司自身两个方面加以控制的规律，进而提出了我国保险资金投资风险防范与监管的具体措施，从资本市场和保险公司两个角度，分析了资本市场创新发展和保险公司建立风险防范体系的具体方法和模式。从宏观角度，则提出了保险监管机构与证券监管机构联动监管，保证资金运用的最大收益的观点。资本市场和保险业两个监管机构应加强沟通交流和信息传递，完善交叉监管体制，在保证保险资金的运用安全的前提下，提高保险公司的资金运用收益和偿付能力，推进保险业稳定发展。同时，对本文未来研究方向进行了展望。更多还原

【Abstract】 Insurance operations often occur with the cyclical changes of the macroeconomicenvironment. When the market’s need of risk protection exceeds the ability ofinsurance companies’ supply, insurance companies’ underwriting insurance businessactivities are the main source of profits. When under the contrary conditions, thecompetition among insurance companies makes them to the bad and the fund yieldexceeds the underwriting business to be the main source of profits. That is to say, asthe only two main profit sources, fund investment and insurance accepting will playdifferent role as the different economic development phases. As the reducing ofinsurance fee and the rising of expected insurance of the policyholder, the profit fromunderwriting business will gradually dwindle, which will badly affect the survival ofinsurance company. As a result, insurance companies must seek the profit from thefund investment business. After China joined into WTO, more and more cross-boardinsurance companies have entered into China. The investment of insurance fund isbecoming a regularity behavior including QFII. These competitive environmentssupply a reference to the Chinese insurance companies. Therefore, the use ofinsurance funds has become a major international insurance operation in business.China will experience an important period of economic development in the nearfuture. Chinese insurance industry will also face an important opportunity ofdevelopment. The overall requirements on the use of insurance funds is deepeningreform of the use of insurance funds, pushing the operation of insurance funds to beprofessional, normative and marketable, continually expanding the channel and thescope, taking full advantage of long-term and stability of insurance funds to providefinancial support to the national economy. This shows that the using of insurancefunds in China’s insurance companies has attracted widespread attention in thetheoretical and practical sides. Improving the effect of Chinese insurance fundsoperation through entering into the capital market to achieve the consolidation ofsafety、profitability and liquidity is the central issue of this paper.This paper firstly introduces the literature on the using of insurance funds and theModern portfolio theory, which provides the theoretical basis for domestic insurancefunds to enter into capital market. For the risk and revenue analysis of insurance fundsoperation, this paper consults the Markowitz’s portfolio theory. This theory divides theassets into risk-free assets and risk assets, consequently combines the risk withrevenue to a whole analysis frame. As to Chinese insurance funds, Markowitz’s theory provides an operation way to insurance companies from bank deposit and nationaldebt to the combination of bank deposit, national debt, corporation bond, stock andfund. When the combination includes stock and security fund, the risk becomes thepivotal factor of investment. This paper refers to the VaR theory, applies a riskprobability to a given revenue level. The risk probability represents the risk endurelevel of insurance funds. So VaR is a very suitable method to measure the risk ofinsurance funds.Secondly, this paper reviews the history of the using of insurance funds in China,analyzes the current situation of insurance funds using, and points out the problem oflow revenue and high risk. This paper also analyzes the operation of insurance fundsin the capital market from the views of safety, profitability and liquidity. As a result,this paper brings forward that insurance funds’ entering into capital market is aneffective solution to solve the revenue and risk problem of insurance funds investment.Then this paper studies the necessary and method of insurance funds investing oncapital market, points out the stock, bond and fund are the main objects of insurancefunds. Insurance funds can adopt direct and indirect way to enter into capital market,which performs different safety, profitability and liquidity. This paper studies Pingan’scase from two aspects of the investment channels and yield levels. Through thecontrast of Pingan’s return rate with the average rate of insurance industry, this paperproves that the high return rate relates to the operation in capital market.In succession, this paper studies the performance evaluation model of insurancefunds’ investment in capital market, and analyzes the three representational singlefactor and multi-factor model of Reynor (1965), Sharpe(1966) and Jensen (1968).Then this paper founds sub-level model, risk-benefit model, the LS model and themarket performance indicators evaluation model, which are appropriate to Chineseinsurance companies and capital market. At the same time, this paper introduces theinvestment ratio model based on the underwriting risk, the optimal proportionportfolio model based on the difference coefficient and VaR limits. From all above,the consanguineous relationship in insurance company between investmentperformance and fund management is proved.Granger model shows that there is causality relationship between investmentperformance and mobilization value of capital market in China. So, it is necessary todeepen reform of capital market, expend the investment channel and improve theproportion of insurance funds to capital market. For insurance company, it is important to select appropriate invest strategy and found optimal portfolio. At thesame time, the "exit" mechanism of capital market should be consummated. Theinsurance company should establish actively choice of portfolio and timelyadjustment of investment, which can improve the profitability on the basis of safetyand liquidity.Finally, this paper analyzes the risk of insurance investment and uses theβtomeasure the investment risk. On the study of conduction mechanism, this paperindexes that the insurance fund investment risk should be controlled from two aspectsof capital market and insurance company itself. On one hand, capital market shouldbe reformed and innovated. On the other hand, insurance company should foundappropriate risk prevention policy and system. From macro-regulatory perspective,China should fully exert the function and action of SEC and IEC, enhancecommunion and cooperation between them, explore and perfect the cross-custodymechanism. From all above, the insurance funds can achieve the profitability on thebase of safety and liquidity and the Chinese insurance companies can develop stably.On the end of this paper, some future research directions are presented.更多还原