投资连结保险的投资风险管理

【作者】 杨丽暑；

【导师】 张琳；

【作者基本信息】 湖南大学 ， 金融学， 2003， 硕士

【摘要】 九十年代末，中国保险业在“内外交困”的严峻形势下，遵循国际产品方向，推出了投资连结保险产品。投资连结保险与传统保险的根本区别是取消了固定的投资回报率，使客户享有投资选择权并承担投资风险，这些特点使得投资连结保险的投资风险管理成为保险经营的核心环节。如何进行有效的投资风险管理成为这种新型产品赢得市场份额的重要保证，也是实现保险企业未来潜在利润增长的力量和源泉。 本文首先从投资连结保险产品的基本概念和主要特点出发，对此产品的投资风险进行了界定和分析，并根据我国投资连结保险的投资风险管理的必要性给出了包括投资风险辨识、投资风险测度、投资风险处理和投资风险管理评估四个部分的投资风险管理的流程。然后，本文总结和评价了一些投资风险测度理论，包括效用理论和风险金测度模型、方差理论和Markowitz的均值—方差模型、Sharpe的资本资产定价模型和β系数、下侧风险中的下偏矩理论和Harlow模型以及VaR理论。经过综合比较，本文认为VaR方法为较好的投资风险测度方法。基于VaR方法，本文研究了关于投资风险测度和投资风险控制两大方面的投资风险管理技术。在投资风险测度方面，分析和比较了计算VaR的三种方法，然后采用Monte Carlo模拟方法对包含上海证券交易所几种证券的组合进行了投资风险测度的实证分析。在投资风险控制方面，给出了市场时机和投资品种选择风险控制的量化标准，同时对于均值—VaR投资组合选择模型进行了扩展，加入无风险资产和VaR约束得出修正的均值—VaR模型。并用此模型分析了提供三种账户的投资连结保险如何进行投资组合选择以分散非系统风险，最后以实例说明了此方法的可行性和科学性。更多还原

【Abstract】 Unit-linked policy is a new kind of policy, which was introduced to Chia at the latter stage of the 1990’s when China insurance was faced with an inside and outside troublesome predicament. Unlike the traditional policy, it cancels scheduled interest rate and makes investment risk management become the nuclear operational process. How to perform effective investment risk management is the important guarantee for the new policies to win in the market and for the insurer’s growth.Firstly, this thesis introduces the elementary concept and characteristics of unit-linked policy, then defines and analyses the policy’s investment risk, showing that it is greatly necessary for the China insurance to manage the investment risk. Furthermore, the thesis put forward a whole process of investment risk management, consisting of investment risk discrimination, investment risk measurement, the treatment of investment risk and the evaluation of investment risk management. Secondly, the paper summarizes and evaluates some theories and method of investment risk measurement, such as utility theory, variance theory and Markowitz’s mean-variance model, Sharpe’s Capital asset pricing model and /? coefficient, downside risk and Harlow model and VaR theory and method. It also illustrates the suitable conditions and defects of these theories, and proves that VaR is a more perfect method for risk measurement by comparison in theory and computation.Thirdly, this thesis makes a study of investment risk management based of VaR theory, consisting of investment measurment and control. It introduces and analyses three kind of computational methods of VaR, then gives a demonstration about how to measure risk based of VaR by using the history data from the Shanghai Security Exchange. Furthermore, it gives a quantitative criterion to control the market timing risk and selecting risk and put forward a corrected mean-VaR model to analysis how to construct portfolios in the three investment accounts of a unit-linked policy.更多还原