“偿二代”体系下保险资产配置策略及效率评估  

Asset Allocation Strategy and Efficiency Evaluation for Insurance Industry under the System of “C-ROSS”

作　　者：王灵芝[1,2] 

机构地区：[1]中国太平洋保险(集团)股份有限公司,上海200120 [2]上海工程技术大学管理学院,上海201620

出　　处：《保险研究》2016年第10期89-101,共13页Insurance Studies

基　　金：中国博士后科学基金面上项目(2015M571461);教育部人文社会科学青年项目(13YJCZH122);上海市教委创新项目(14YS112)资助

摘　　要：以风险为导向、以资本金为约束的第二代偿付能力监管体系(以下简称"偿二代"),不同资产类型对资本金的要求存在显著的差异。偿二代体系下,如何平衡资产配置的收益、风险及资本占用值得认真思考。本文考察了资金占用为约束下的资产配置优化问题,采用遗传算法,得出了不同风险态度对应的帕累托最优解。为了对资产配置策略的效率进行评估,论文从收益、风险、流动性和资本占用情况四个方面将偿一代体系、偿二代体系与传统的Markowitz模型下的资产配置策略进行对比。研究发现,在施加了偿付能力约束后,可行域是Markowitz模型下的一个子集;偿二代下有效边界优于偿一代下的有效边界,偿二代下资本的使用效率提高了。Taking the capital as a constraint, the Risk-oriented Solvency System arrives at a capital requirement level greatly different for different assets. Therefore, under the ＂C-ROSS＂, how to balance investment income, risks and capital requirement in asset allocation is worth careful consideration. This paper studied the asset allocation strategy under the constraint of capital requirement, and got the Pareto optimal solutions for different risk attitudes by use of the genetic algorithm. In order to model with the traditional Markowitz model evaluate the efficiency of asset allocation strategies, and scale oriented solvency system. After applying straints, the feasible region was a subset of the Markowitz model. However, the efficient frontier better than the scale oriented solvency system, and the efficiency of capital was improved under we compared solvency con- of ＂C-ROSS＂ was ＂C-ROSS＂.

关 键 词：偿二代 资产配置策略 资本占用 偿一代 

分 类 号：F840.62[经济管理—保险]