《保险研究》20220403-《资本回报率为核心的寿险公司最优资产配置模型》（杨步青、田伟）

［摘   要］2016年，中国风险导向的偿付能力监管体系偿二代正式实施。偿二代的第一支柱为定量资本要求，是基于风险的系统分类并在科学计量基础上，对保险公司提出的最低资本要求。偿二代的落地，使得资本约束成为保险公司资产配置中重要考量因素。2021年12月30日，偿二代二期规则发布，新增资本规划规定，要求保险公司强化资本刚性约束，提升保险公司资本管理水平。可以预见，二期规则落地后，保险公司将更加重视资本的使用效率，资本的精打细算将贯穿在每个业务环节。针对监管新规，本文构造了以资本回报率为核心的资产配置模型，考察了偿二代二期最低资本要求下寿险公司的最优资产配置方案。与基于资产收益率的资产配置模型相比，资本回报率模型更加注重资本的使用效率和安全，体现了股东回报率、风险与收益的关系，符合保险行业重资本的特征。此外，本文还在模型中考虑了税收政策对资产收益率的影响，以及权益类资产的利率风险资本设置等更加实务的问题，本文的研究可以为保险公司进行最优资产配置、风险资本限额设置、资本规划提供参考和依据。

［关键词］资产配置；资本回报率；偿付能力；偿二代二期

［作者简介］杨步青，上海财经大学金融学院讲师，理学博士；田伟，现供职于中国平安人寿保险股份有限公司投资风控，经济学硕士，北美精算师(FSA)、中国精算师协会正会员(FCAA)、特许金融分析师(CFA)、软件工程师。

An Optimal Asset Allocation Model for Life Insurers Based on Capital Return

YANG Bu-qing,TIAN Wei

Abstract：China Risk Oriented Solvency System(C-ROSS) took effect in 2016.The first pillar of C-ROSS is about quantitative capital requirement.It is the minimum capital requirement on insurance companies though a scientific calculation based on systematic classification of risks.This marks that capital constrains become an important consideration in asset allocation of insurance companies.The C-ROSS phase II was announced on December,30,2021.It introduced a new regulation to capital planning,requiring insurance companies to strengthen their capital constraint compliance and enhance their capital management capability.It can be expected that insurers will pay more attention to capital efficiency,and the smart use of capital will be a key factor in all business plans.On this circumstance,we designed an asset allocation model with capital return as a core function and tried to derive the optimal asset allocation plan under the C-ROSS phase II minimum capital requirement for life insurers.Compared to the portfolio modelled on asset return,the capital return model paid more attention to efficiency and safety of capital.The model better represents the relationship between shareholder returns,and risk and returns,which conforms to the capital-intensive characteristics of the insurance industry.Besides,the model also considers practical issues such as the effects of tax policy on asset yields and interest rate risk capital requirements for equity investments.This research provides a good reference and basis for insurers in their optimal asset allocation,risk capital limit and capital.

Key words：asset allocation;capital return;solvency;C-ROSS phase II