【摘要】：自1980年恢復(fù)國內(nèi)保險(xiǎn)業(yè)務(wù)以來，經(jīng)過30多年的發(fā)展，財(cái)產(chǎn)保險(xiǎn)已經(jīng)成為國民經(jīng)濟(jì)不可缺少的組成部分，為企業(yè)和個(gè)人提供全面的財(cái)產(chǎn)保障。但是由于理論發(fā)展水平和實(shí)務(wù)創(chuàng)新不足以及政策法規(guī)的傾斜，我國財(cái)產(chǎn)保險(xiǎn)在不斷發(fā)展壯大的同時(shí)也出現(xiàn)了業(yè)務(wù)結(jié)構(gòu)方面的問題。保險(xiǎn)公司是經(jīng)營風(fēng)險(xiǎn)的特殊企業(yè)，除了關(guān)注經(jīng)營過程中業(yè)務(wù)的收益水平，也高度重視業(yè)務(wù)風(fēng)險(xiǎn)的控制和管理。經(jīng)濟(jì)資本是近年來發(fā)展較快的一個(gè)風(fēng)險(xiǎn)管理工具，不僅在風(fēng)險(xiǎn)計(jì)量上具有獨(dú)特的優(yōu)勢，也是金融業(yè)特別是保險(xiǎn)業(yè)風(fēng)險(xiǎn)控制和價(jià)值創(chuàng)造的有效工具。 本文以經(jīng)濟(jì)資本配置作為理論工具，對(duì)我國財(cái)產(chǎn)保險(xiǎn)公司的業(yè)務(wù)結(jié)構(gòu)優(yōu)化進(jìn)行討論。首先對(duì)我國財(cái)產(chǎn)保險(xiǎn)市場的宏觀發(fā)展?fàn)顩r進(jìn)行回顧和分析，針對(duì)業(yè)務(wù)結(jié)構(gòu)存在的問題從經(jīng)濟(jì)資本的角度切入。經(jīng)濟(jì)資本配置理論主要是配置規(guī)則和配置方法以及應(yīng)用的討論，文章梳理了主要的配置方法并最終選擇了最小偏差法進(jìn)行經(jīng)濟(jì)資本的配置�；诮�(jīng)濟(jì)資本配置理論探討在業(yè)務(wù)結(jié)構(gòu)優(yōu)化上的應(yīng)用是本文的核心，文章從風(fēng)險(xiǎn)和價(jià)值兩個(gè)方面入手，以經(jīng)濟(jì)資本配置產(chǎn)生的風(fēng)險(xiǎn)分散效應(yīng)和風(fēng)險(xiǎn)資本調(diào)整收益作為決策工具。最后，結(jié)合某大型財(cái)產(chǎn)保險(xiǎn)公司2007年1月至2012年7月的經(jīng)營數(shù)據(jù)進(jìn)行實(shí)證分析，選取8條業(yè)務(wù)線的損失數(shù)據(jù)作為變量計(jì)量、配置經(jīng)濟(jì)資本，通過比較業(yè)務(wù)線與整個(gè)組合的風(fēng)險(xiǎn)分散指數(shù)、RAROC和基于RAROC構(gòu)建的收益-經(jīng)濟(jì)資本模型進(jìn)行優(yōu)化分析。 實(shí)證結(jié)果表明：從風(fēng)險(xiǎn)分散角度看，降低機(jī)動(dòng)車輛保險(xiǎn)的規(guī)�？梢赃_(dá)到降低組合整體風(fēng)險(xiǎn)的效果；從收益角度看，降低企業(yè)財(cái)產(chǎn)保險(xiǎn)和保證保險(xiǎn)的規(guī)模能夠提高組合單位經(jīng)濟(jì)資本的收益率水平；基于組合RAROC構(gòu)建的收益-經(jīng)濟(jì)資本模型，，可以確定使組合風(fēng)險(xiǎn)調(diào)整資產(chǎn)收益最大的有效前沿從而找到實(shí)現(xiàn)全局最優(yōu)的目標(biāo)解向量，并在有業(yè)務(wù)規(guī)模限制和無限制兩種情況下進(jìn)行了討論。
[Abstract]:Since the resumption of domestic insurance business in 1980, after more than 30 years of development, property insurance has become an indispensable part of the national economy, providing comprehensive property security for enterprises and individuals. However, due to the lack of theoretical development level and practical innovation, as well as the tilt of policies and regulations, China's property insurance has also appeared problems in business structure while it has been developing and expanding. The insurance company is a special enterprise which manages the risk. It not only pays attention to the profit level of the business, but also attaches great importance to the control and management of the business risk. Economic capital is a risk management tool developed rapidly in recent years. It not only has a unique advantage in risk measurement, but also is an effective tool for risk control and value creation in the financial industry, especially in the insurance industry. This paper discusses the optimization of the business structure of property insurance companies in China with the economic capital allocation as a theoretical tool. Firstly, the macro development of property insurance market in China is reviewed and analyzed, and the problems existing in the business structure are analyzed from the angle of economic capital. The theory of economic capital allocation is mainly a discussion of allocation rules, methods and applications. This paper combs the main allocation methods and finally selects the least deviation method to allocate economic capital. The application of the economic capital allocation theory in the optimization of business structure is the core of this paper. This paper starts with the risk and value, and takes the risk dispersion effect and the risk capital adjustment income of the economic capital allocation as the decision-making tools. Finally, based on the management data of a large property insurance company from January 2007 to July 2012, the loss data of 8 business lines are selected as variables to allocate economic capital. By comparing the risk dispersion index between the business line and the whole portfolio, RAROC and the revenue-economic capital model based on RAROC are optimized and analyzed. The empirical results show that: from the perspective of risk dispersion, reducing the scale of motor vehicle insurance can achieve the effect of reducing the overall risk of portfolio; From the income point of view, reducing the scale of enterprise property insurance and guarantee insurance can improve the rate of return of economic capital of portfolio unit. Based on the revenue-economic capital model based on combined RAROC, the efficient frontier of portfolio risk adjusting asset income can be determined to find the target solution vector to achieve the global optimum. In the case of business size limit and no restriction, the paper discusses.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F842.65

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