摘要
《保险资产负债管理监管规则(1-5号)》的实施对保险公司资产配置产生了重大影响。本文较为全面地考虑了总体目标、风险偏好、客户行为、负债属性等关键变量以及投资比例、偿二代等监管限制,特别加入了新规对资产负债管理的约束,通过流动性要求将资产端和负债端联动起来,以万能险为例、基于“均值-方差”理论和随机规划法构建了资产配置模型。利用该模型能够动态地分析不同阶段、不同情景下的投资决策机制,为万能险账户最优资产配置策略和关键变量的确定提供一种分析方法。数值模拟表明:第一,上述关键变量变化对资产配置决策有重要影响,由于万能险账户的投资属性很强,投保人在结算利率低于市场参考利率时的客户行为比结算利率高于市场参考利率时更一致;第二,该规则鼓励加大固定收益类资产的配置,能够有效防控资产负债错配风险,但并不一定会降低投资收益;第三,当账户资产负债匹配较好时,该规则对最优资产配置策略不产生强约束,但当资产负债匹配较差时,该规则对最优资产配置策略产生强约束,目前来看万能险账户成本收益匹配管理面临的挑战更大。
The implementation of the Regulation on the Management of Insurance Assets and Liabilities(No.1-5)has had a significant impact on the asset allocation of insurance companies.Taking universal insurance as an example,this paper built an asset allocation model based on the“mean variance”theory and stochastic programming method,and considered the key variables such as the overall objective,risk preference,customer behavior,liability attribute,and regulatory restrictions such as C-ROSS and the new regulations’constraints on asset liability management comprehensively,then linked the asset side and liability side through liquidity requirements.The model can be used to analyze the investment decision-making mechanism in different stages and scenarios dynamically,and provide an analysis method for determining the optimal asset allocation strategy and key variables of universal insurance accounts.Through numerical simulation,it is found that:First,changes in the above key variables have an important impact on asset allocation decisions.Because of the strong investment attribute of the universal insurance account,the policyholder’s customer behavior when the settlement interest rate is lower than the market reference interest rate is more consistent than when the settlement interest rate is higher than the market reference interest rate;Second,the rule encourages the allocation of fixed income assets,which can effectively prevent and control the risk of asset liability mismatch,but it does not necessarily reduce investment returns;Third,when the account asset liability matching is good,the rule does not impose strong constraints on the optimal asset allocation strategy,but when the asset liability matching is poor,the rule imposes strong constraints on the optimal asset allocation strategy.At present,the cost income matching management of universal insurance accounts faces greater challenges.
出处
《投资研究》
CSSCI
北大核心
2022年第8期53-71,共19页
Review of Investment Studies
基金
国家社科基金后期资助项目妇女儿童保险保障的理论分析与政策研究(17FJY011)
中央高校基本科研业务费专项资金宏观风险下的股债联合定价研究(63202031)资助
关键词
保险监管
资产负债管理
资产配置
Insurance supervision
Asset liability management
Asset allocation
作者简介
通讯作者:王颖,中国人民人寿保险股份有限公司,业务主管,经济学博士;郭金龙,中国社会科学院保险与经济发展研究中心主任,研究员、教授
