《保险研究》20210404-《偿二代与资产负债匹配约束下寿险公司最优资产配置》（廖朴、黄嘉慧）

［摘   要］保险公司资产配置需要同时考虑资产负债匹配和风险-收益均衡。本文在偿二代对保险资产负债匹配的隐性要求和保险资产负债管理监管规则对资产负债匹配的显性要求下,考察了资本占用和久期匹配约束下的险资投资策略,研究了保险公司的最优资产配置问题。结果显示:负债久期较长的寿险公司很难同时满足偿二代资本要求和资产负债久期匹配要求；保险资产负债管理监管规则对保险公司资产配置策略产生显著影响；资产收益特征设定下,保险公司资产配置策略有改进空间。本文的创新点是依据保险资产负债管理监管规则显性地引入资产负债匹配要求,同时在偿二代与资产负债匹配约束下研究了寿险公司最优资产配置。

［关键词］偿二代；寿险资产配置；最低资本；久期匹配

［基金项目］本文受国家社科基金(17CSH018,16BJY186),中央财经大学科研创新团队支持计划、“青年英才”培育支持计划(QYP1909)和“保险风险分析与决策”学科创新引智基地(B17050)资助。

［作者简介］廖朴,中央财经大学中国精算研究院、保险学院副教授；黄嘉慧,中央财经大学中国精算研究院、保险学院硕士研究生。

Optimal Asset Allocation of Life Insurance Companies Under The Constraints of C-ROSS and Asset-liability Matching

LIAO Pu,HUANG Jia-hui

Abstract：The insurance companies need to consider both asset-liability matching and risk-return balance in asset allocation.This paper examined insurers′ investment strategy under the constraints of capital requirements and duration matching from the implicit requirements of the C-ROSS and the explicit asset-liability matching requirements of "The Regulation on Insurance Asset Liability Management ",and then studied the optimal asset allocation of insurance companies.The results show that:firstly,it is difficult for life insurance companies with long liability duration to meet the C-ROSS capital requirements and asset-liability duration matching at the same time;secondly,"The Regulation on Insurance Asset Liability Management " has a significant impact on insurance company asset allocation strategies;thirdly,under the asset return characteristics setting,there is room for improvement in the asset allocation strategy of insurance companies.The innovation of this article is to explicitly introduce asset-liability matching requirements according to the "The Regulation on Insurance Asset Liability Management ",and to study the optimal asset allocation of life insurance companies under the constraints of C-ROSS and asset-liability matching.

Key words：C-ROSS;life asset fund allocation;minimum capital requirement;duration matching