《保险研究》20190503-《资本约束下保险公司最优大类资产配置模型研究》（王婧）

［摘   要］中国第二代偿付能力监管制度体系(以下简称“偿二代”)执行以后,投资风险直接体现在资本要求上,资本充足率成为保险公司投资决策的重要约束。在此背景下,保险公司有必要建立整体经济资本预算框架,通过提高各类资产的边际资本回报率,提升公司股东价值。本文通过理论研究证明资本约束下保险公司最优大类资产配置的路径首先是进行负债风险匹配资产的管理,其次才是追求盈余资产收益最大化,同时,本文创新性提出了三阶段的数值求解方法,填补了国内文献以及保险公司实践中难以前置化资本约束得到大类资产配置数值解的研究空白。

［关键词］资产配置；资本约束；资产负债管理

［作者简介］王婧,清华大学五道口金融学院博士研究生,建信财产保险有限公司投资管理部总经理。

The Research of Optimal Asset Allocation in Insurance Companies under Capital Constraints

WANG Jing

Abstract：After the adoption of C-ROSS,investment risk has been directly mapped on to capital requirements,causing the solvency adequacy an important constraint for insurer’s investment decisions. Under this circumstance,it is essential for insurance companies to establish the economic capital budget framework and maximize the shareholders’ interests through improving marginal returns of various types of assets. This paper was to prove that optimizing asset allocation for insurance companies under the constraint of capital requirement should prioritize matching assets with liability risks,then maximize returns of surplus assets. This paper innovatively proposed a three-step numerical method and filled in the gap of advancing capital requirement constraints for asset allocation which had an important theoretical and practical significance.

Key words：asset allocation;capital requirement;asset-liability management