【摘要】：金融自由化及金融創(chuàng)新發(fā)展條件下,保險(xiǎn)公司已經(jīng)愈發(fā)成為資本市場(chǎng)中舉足輕重的機(jī)構(gòu)投資者,金融功能已成為保險(xiǎn)公司愈發(fā)突出的功能。而激烈的保險(xiǎn)競(jìng)爭(zhēng)環(huán)境下,要維持保險(xiǎn)公司在市場(chǎng)環(huán)境中的競(jìng)爭(zhēng)力,加強(qiáng)保險(xiǎn)公司的投資管理,這已然成為各大保險(xiǎn)公司必然追求的方向。就目前而言,費(fèi)差與利差組成的損益是我國(guó)保險(xiǎn)公司的業(yè)務(wù)利潤(rùn)來(lái)源。而由于保險(xiǎn)產(chǎn)品的價(jià)格會(huì)受到費(fèi)差的影響,繼而直接影響保險(xiǎn)的銷(xiāo)售,因此欲借助費(fèi)差得到利潤(rùn),必然存在很大程度上的限制。此外,受我國(guó)加入世貿(mào)組織時(shí)承諾兌現(xiàn)的影響,中國(guó)的保險(xiǎn)市場(chǎng)已有大量外資保險(xiǎn)公司開(kāi)始進(jìn)入,在愈發(fā)激烈的競(jìng)爭(zhēng)環(huán)境下,費(fèi)差會(huì)逐步收縮于零甚至達(dá)到負(fù)值。所以,保險(xiǎn)投資才是保險(xiǎn)公司利潤(rùn)的主要獲取來(lái)源。受長(zhǎng)期以來(lái)我國(guó)在保險(xiǎn)投資渠道方面的限制,就我國(guó)保險(xiǎn)公司而言,其相當(dāng)大部分資金都是滯壓在銀行中的,而受中國(guó)人民銀行調(diào)低利率措施的影響,保險(xiǎn)公司在利差方面遭受了大量的損失,對(duì)我國(guó)保險(xiǎn)公司的投資效益產(chǎn)生了嚴(yán)重的影響。 為此,本文首先對(duì)保險(xiǎn)基金投資的相關(guān)理論進(jìn)行了概述,主要包括風(fēng)險(xiǎn)收益理論、資產(chǎn)組合理論和現(xiàn)代投資理論。其次,分析了外國(guó)發(fā)達(dá)國(guó)家保險(xiǎn)投資組合的狀況,包括美國(guó)、日本以及韓國(guó),并結(jié)合這些國(guó)家的情況,分析了我國(guó)保險(xiǎn)投資的現(xiàn)狀和問(wèn)題,并對(duì)這些問(wèn)題進(jìn)行了原因上的追蹤。然后,以X保險(xiǎn)公司投資組合為案例,通過(guò)建立馬克維茨組合選擇模型,進(jìn)行綜合學(xué)分析,并對(duì)多目標(biāo)投資組合模型在保險(xiǎn)投資中的運(yùn)用進(jìn)行探討。最后,結(jié)合上述理論分析和對(duì)實(shí)踐的借鑒,找出完善X保險(xiǎn)公司投資組合的策略建議。主要包括,大力建設(shè)x保險(xiǎn)公司的內(nèi)控制度、實(shí)施資產(chǎn)混合管理策略、促進(jìn)投資風(fēng)險(xiǎn)的內(nèi)部分散化,以及實(shí)施利率免疫技術(shù)對(duì)抗投資風(fēng)險(xiǎn)。 本文的研究對(duì)象是X保險(xiǎn)公司投資組合策略,歸納了X保險(xiǎn)公司組合投資的各種策略,并重點(diǎn)論述了X保險(xiǎn)公司的組合投資策略。同時(shí)在國(guó)內(nèi)外許多學(xué)者研究的基礎(chǔ)上,做了一些有益的擴(kuò)展研究和嘗試,在一定方面進(jìn)行了改進(jìn)和創(chuàng)新。在保險(xiǎn)資金投資研究中,為構(gòu)建組合投資提供系統(tǒng)的解決方案,提出了保險(xiǎn)資金的選擇標(biāo)準(zhǔn)和組合投資方法的選擇。同時(shí)也給出了保險(xiǎn)資金組合投資績(jī)效評(píng)價(jià)的指標(biāo)和方法。
[Abstract]:Under the conditions of financial liberalization and financial innovation, insurance companies have become more and more important institutional investors in the capital market, and financial functions have become increasingly prominent functions of insurance companies. Under the intense insurance competition environment, to maintain the insurance company's competitive power in the market environment and strengthen the insurance company's investment management, this has already become the inevitable direction that each big insurance company pursues. At present, the profit and loss of spread and interest rate is the source of business profit of insurance companies in our country. And because the price of insurance products will be affected by the difference of fees, and then directly affect the sale of insurance, so there is bound to be a great degree of restriction in order to obtain profit from the difference of insurance fees. In addition, due to the impact of China's entry into WTO, a large number of foreign insurance companies have begun to enter the insurance market of China. Under the increasingly fierce competition environment, the fee difference will gradually shrink to zero or even reach negative value. Therefore, insurance investment is the main source of profits for insurance companies. Because of the long-standing restrictions on insurance investment channels in China, as far as the insurance companies in China are concerned, a large part of their funds are stagnant in the banks and affected by the measures of lowering interest rates by the people's Bank of China. Insurance companies have suffered a large number of losses in the spread, which has a serious impact on the investment efficiency of insurance companies in China. Therefore, this paper firstly summarizes the related theories of insurance fund investment, including risk-return theory, portfolio theory and modern investment theory. Secondly, this paper analyzes the situation of insurance portfolio in foreign developed countries, including the United States, Japan and South Korea, and analyzes the current situation and problems of insurance investment in China according to the situation of these countries, and makes a follow-up on the reasons for these problems. Then, taking X insurance company's portfolio as an example, through the establishment of Markowitz portfolio selection model, a comprehensive analysis is carried out, and the application of multi-objective portfolio model in insurance investment is discussed. Finally, combined with the above theoretical analysis and practical reference, find out the X insurance companies to improve the investment portfolio of the strategy recommendations. It mainly includes the construction of x insurance company's internal control system, the implementation of asset mix management strategy, the promotion of internal diversification of investment risk, and the implementation of interest rate immunity technology against investment risk. The research object of this paper is the portfolio strategy of X insurance company, the various strategies of X insurance company portfolio investment are summarized, and the portfolio investment strategy of X insurance company is discussed emphatically. At the same time, on the basis of the research of many scholars at home and abroad, we have done some beneficial expansion research and attempt, and have carried on the improvement and the innovation in a certain aspect. In the research of insurance fund investment, this paper puts forward the selection criteria of insurance fund and the choice of portfolio investment method in order to provide a systematic solution to the construction of portfolio investment. At the same time, it also gives the index and method of the performance evaluation of insurance portfolio investment.
【學(xué)位授予單位】：華東理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F842.3;F274

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本文編號(hào)：2470595