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论文编号：	9590
作者编号：	2120152829
上传时间：	2017/12/7 16:29:45
中文题目：	H寿险公司资产负债匹配框架下的战略资产配置优化研究
英文题目：	Study on optimization of the strategic asset allocation in H under the requirement of ALM（Asset and Liability Management）
指导老师：	张晓农
中文关键字：	资产负债匹配，资产配置，战略资产配置
英文关键字：	Asset and Liability Management, asset allocation, strategic asset allocation
中文摘要：	当今随着我国经济已步入新常态的新局面，保险业内资金运用的市场化也在不断推进过程之中。特别是显现于寿险业，随着产品认可度的不断提高，市场业务范围不断扩展，政府监管部门的管理理念也被不断翻新，整体来看市场化改革初现端倪。那么就要求寿险公司经营不断改善，特别是在当前的市场的利好形式下，有关资金运用方面的管理目标更应明确为在给定负债特征及偿付能力要求下充分为股东创造投资收益。与国内大型保险公司相比， H寿险公司作为一家中小型寿险公司，考虑到其负债端具有的较高成本和灵活性高的特点，故给公司的现金流动性及经营稳定性将带来一定影响，因此在公司整体资金运用策略方面更加需要紧握市场上的创新投资机遇，要勇于开拓新格局，实现超预期发展。战略资产配置则是根据投资者的投资需求和对市场的判断，将资金投向不同类资产，形成最优资产组合的全过程。该理论的思想基础是由现代资产组合理论发展演变而来。寿险资金因其所具有的自身特点，尤其重视对负债和资产双方的匹配度考量。因此在其实践发展的过程中，引入源于银行业的资产负债管理模型成为指导保险资金进行大类资产配置的重要理论。本文按照“理论基础—发展现状—制度性建议”的逻辑顺序，从投资实务的角度对H寿险公司战略资产配置问题展开理论及实证方面的研究。在阐明保险资产配置管理理论基础和相关配置原理的基础上，详细介绍H寿险公司累积式分红险账户（UWP）战略资产配置的历史推进和发展现况。通过从总量、期限、结构等方面分析该账户的大类资产配置特征，并监管当局最新政策和H寿险公司自身特有的负债成本特点等方面分析影响公司战略资产配置的主要因素。最后从经济周期、市场周期、资产风险收益等方面阐明在H寿险公司实施战略资产配置的重要意义及制度性原则。本文最终形成的在 H寿险公司施行战略资产配置制度化建设的研究成果可应用于对公司内部各账户进行大类资产配置优化，使H寿险公司的投资收益率水平整体改善。此外本文关于对UWP账户增加权益类资产配置比例的设计思路对公司一般分红险账户实现收益水平的进一步提高也可起到借鉴作用。
英文摘要：	China has entered the “new normal economy”, with the marketization of insurance fundsoperation continues to push forward, the sphere of business keepsto be broadened,the aspect of insurance regulationkeeps innovating and the effect of marketization reform has been gradually emerging. In this market environment, as to insurance sectors, thetarget of fund operation is usually setted in definite debt characteristics and fixed requirements of solvency, finally is to create investment return for shareholders. Unlike large insurance companies, as a member of the small and medium-sized group, H company’s liabilities have unique characteristicsof high cost, short duration, fast turnover and high flexibility. Accordingly, insurance funds operation asks more strategies in grasping opportunities for innovation, in order to firmly establish the concept of promoting development with innovations, keep improving in the course of reform, and constantly develop new patterns to achieve new development. Strategic asset allocation is based on the demands of investors and judgmentstowardsthe market, to make sure that insurance funds are invested in different types of asset.It is thewhole formation process of optimal portfolio. Its basic idea is developed from the modern portfolio theory . Because life insurance fund has its own characteristics, with particular emphasis onconsideration of matching assets and liabilities,therefore in the process of practicedevelopment, theasset liability management model which is originated from banking industry has become the most important theory in guiding insurance funds into diffrent typ According to the logical order of “theoreticalbasis-development status- institutional suggestion", from the perspective of investment practice,this paper studies the strategic asset allocation problem of H life insurance company. Based on clarifying the insurance asset allocation management theory and relevant configuration principles, this paper has introduced the historical progress and development on strategic asset allocation of the accumlated dividend account in the H Life insurance company.According to the analyzation of asset allocation characteristics within UWP account in terms of total quantity,duration and structure,it also analyzes the main factors influencing the strategic asset allocation of the company on the aspects of liabilities cost,regulation policies and asset rotation in the economic cycle.Finally,from the economic cycle,market cycle,asset risk income and other aspects,the importance and institutional principles of the strategic asset allocation in H company have been clarified. In this paper, the final research results of the institutionalized construction on the strategic asset allocation of H life insurance company can be applied to the optimization of all the internal accounts’ asset allocation.The investment return rate level of the whole company’s funds will be improved overall.In addition,the thought of increasing the allocation of equity assets to the UWP account can also be used as reference for the company’s general dividend insurance accounts in order to gain further improvement of its profitability.
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