《保险研究》20210707-《基于偿付能力的寿险资金战略资产配置》（邓斌、王奕渲、丁豪、郑振儒、肖纲璟）

［摘   要］保险资金的战略资产配置是基于公司风险偏好,为满足负债和资本回报要求,对保险资金在大类资产上进行长期规划与分配的过程。本文介绍的寿险资金“战略资产配置三维方法论”,是以偿付能力为核心风险偏好,在资本市场长期回报均值回归及Cornish-Fisher展开调整的跨周期宏观经济假设基础上,利用马科维茨模型对公司整体的资产组合进行优化,并以平衡多项业务指标要求的加权打分方式确定战略资产配置方案,然后再确定分账户资产配置,最后进行长期资产负债联动蒙特卡洛动态模拟。通过研究,本文认为应对寿险资金进行跨宏观经济周期的战略配置管理并将偿付能力充足率作为核心风险指标。

［关键词］战略资产配置;三维方法论；跨周期;偿付能力充足率；Cornish-Fisher

［作者简介］邓斌,中国太平洋保险(集团)股份有限公司首席投资官,中国保险资产管理业协会资产负债管理专业委员会副主任委员；王奕渲,博士,中国太平洋保险(集团)股份有限公司资产管理部资深经理；丁豪,中国太平洋保险(集团)股份有限公司资产管理部高级经理；郑振儒,中国太平洋保险(集团)股份有限公司资产管理部总经理；肖纲璟,中国太平洋保险(集团)股份有限公司资产管理部资深经理。

The Solvency-based Strategic Asset Allocation For Life Insurance Funds

DENG Bin,WANG Yi-Xuan,DING Hao,ZHENG Zhen-Ru,XIAO Gang-Jing

Abstract：Strategic asset allocation is a process of long-term planning and allocation of insurance funds,based on a company′s risk appetite,to meet the requirements of liabilities and return on capital.The tri-dimensional methodology of strategic asset allocation introduced in this paper takes solvency ratio as the core measure of risk appetite.Based on the assumption that capital market return will mean-revert over the Juglar Cycle,it used the Markowitz model and the Cornish-Fisher expansion adjustment to optimize the overall portfolio in a top-down fashion,and determined the strategic asset allocation scheme by a weighted scoring method that met multiple business requirements.Then the strategic asset allocation for various liability product cohorts (the sub-accounts) was constructed.The final step entailed a Monte Carlo simulation of the asset liability interaction over a long term.This method emphasizes that the strategic asset allocation for life insurance funds should run through macroeconomic cycles and take solvency ratio as the core risk measure.

Key words：strategic asset allocation;tri-dimensional methodology;cross cycle;solvency ratio