安全第一准则下的改进型保险资金投资组合研究  

A Study on Portfolio of Insurance Funds Based on the Improved Safety First Criterions

作　　者：鲁万波[1] 陈雷[2] 石旻[3] LU Wan-bo CHEN Lei SHI Min(School of Statistics, Southwestern University of Finance and Economics, Chengdu 610074, China Investment Banking Department, China Construction Bank Jiangsu Branch, Nanjing 210002, China Research Institute of Economics and Management, Southwestern University of Finance aad Economics, Chengdu 610074,China)

机构地区：[1]西南财经大学统计学院,四川成都610074 [2]中国建设银行江苏省分行投资银行部,江苏南京210002 [3]西南财经大学经济与管理研究院,四川成都610074

出　　处：《管理工程学报》2017年第1期149-154,共6页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71101118);教育部新世纪优秀人才支持计划资助项目(NCET-13-0961);中央高校基本科研业务费专项资金资助项目(JBK120405;JBK131118)

摘　　要：目前我国保险行业面临收不抵支、利润率较低等与保险大国不相匹配的尴尬境遇。这迫使保险机构需要通过保险资金投资等途径来降低保险资金保值增值的压力,以满足投保人和保险投资的需要。本文根据我国保险业保险投资各方面的法律法规对经典安全第一准则进行改进,实证模拟并计算了对应破产水平下的投资组合和有限边界。因此,投资者可基于改进的安全第一准则模型,根据限定概率下可以接受的破产水平和最大期望收益,选定包括无风险资产和风险资产在内的投资组合。China＇s insurance industry is now facing the embarrassing situations of overspending, lowered profit, etc. These issues are forcing insurance companies to invest with the insurance funds to reduce the pressure of its commitment of mainaining and increasing the value of insurance funds. Therefore, the safety and profitability for insurance funds are of great importance. Capital market entails risk and uncertainty. The safeguard characteristic of insurance funds makes it a hot and essential issue to be addressed. The academic is particularly interested in investigating how to maximize the return of insurance funds investment under the premise of ensuring the safety of insurance funds. Safety First Criterion （SFC） is employed to address this problem, which was firstly proposed by Roy in 1952 and improved by Telser and Kataoka afterwards in 1955 and 1963, respectively. The core ideas of SFC are to： （1） minimize the upper bound of the chance of a dread event by setting a ＂disaster＂ level representing the bankruptcy level, and （2） regulate the probability of the ＂disaster＂ level occurring during the investment process. Research on SFC is mostly in the field of asset portfolio. Combing and comparing SFC with mean-variance theory and value at risk （VaR） theory are quite common. However, similar researches are only conducted recently in China, about 50 years later after its appearance. However, combining SFC theory with China＇s optimal portfolio selection for insurance funds is barely seen in previous research literatures. In the second section, we improve the form of SFC according to its own characteristics and with the combination of the requirement about maintaining and increasing the value of insurance funds under the premise of safety. The role we use to improve the form is based on the regulations provided to regulate insurance fund investment by China＇s insurance laws and regulations. We firstly recall the classic form of SFC model and then simplify the model by transferring dual o

关 键 词：保险资金 安全第一准则 资产组合 

分 类 号：F830.59[经济管理—金融学]