偿付能力角度下我国寿险公司资产配置研究  

A Study on the Asset Allocation in Life Insurance Companies in China from the Perspective of Solvency

作　　者：黄海森[1] 高琳[1] 

机构地区：[1]中央财经大学保险学院,北京100081

出　　处：《保险职业学院学报》2014年第6期16-21,共6页Journal of Insurance Professional College

摘　　要：在关于保险公司资产配置的传统研究中,大部分都忽略了保险公司偿付能力充足的要求对资产配置的影响。本文首先拟合出投资资产收益率的边缘分布及联合分布,再通过带有约束条件的线性回归计算出各项资产的认可比例;最后,将保险公司偿付能力充足作为约束条件,同时使各投资资产的比例满足法规要求,在达到既定预期收益的条件下,通过最小化组合收益率的在险价值计算出寿险公司的最优投资比例。For a large part of traditional research on asset allocation of life insurance companies, the effect of solvency on this is almost overlooked. In this paper, the distributions of the yield rate of risky assets and the whole portfolio are matched firstly. Then, the proportions of admissible assets are calculated through restricted regression. Last, restricted by adequate solvency, this paper gets the results of optimal investment proportions by minimize the value at risk of portfolio yield rate, in the condition of achieving expected yield rate.

关 键 词：资产配置 偿付能力 分布拟合 在险价值 

分 类 号：F840[经济管理—保险]