保险公司资产组合与最优投资比例研究  

A research on the asset portfolio and optimal investment ratios for insurance companies

作　　者：王俊[1] 王东[1] 

机构地区：[1]对外经济贸易大学保险学院,北京100029

出　　处：《保险研究》2010年第12期60-67,共8页Insurance Studies

基　　金：对外经济贸易大学国家"211工程"重点学科建设项目"WTO与中国金融安全与风险防范(项目号:73000010)";对外经济贸易大学"企业风险管理"学术创新团队;"211工程"三期建设项目

摘　　要：保险公司收益主要来源于承保利润和投资收益,其中承保利润受政策变动、市场条件等外部环境的影响较大,而投资收益则更多地取决于保险公司的投资能力,因此保险公司如何构建资产组合、如何确定最优投资比例就是获取投资收益最大化的重要因素。本文通过理论推导得出了保险公司的资产组合模型并运用非线性规划求解出最优投资比例,进而根据保险公司的投资数据进行了实证研究,为我国保险公司的资产组合及最优投资比例提供了一个可借鉴的思路。The earnings of an insurance company mainly come from its underwriting profit and investment income. The underwriting profit is largely influenced by external factors such as policy change and market conditions, while the investment income mostly depends on the investment capability of the insurance company. Therefore, how to set up an appropriate investment portfolio and the optimal investment proportions is an important aspect for insurance companies to pursue maximization of investment income. The paper projected the asset portfolio model of insurance companies through a theoretical analysis and the optimum investment proportions by applying the nonlinear programming method. Then, it carried out an empirical study on investment data of insurance companies. The paper offered some useful thoughts on the optimal investment proportion and investment portfolio for insurance companies.

关 键 词：保险资金 资产组合 最优投资比例 差异系数模型 

分 类 号：F840.32[经济管理—保险]