寿险公司最低资本要求对资产配置的影响——基于市场风险的视角  

Research on the Minimum Capital Requirements and Asset Allocation of Life Insurance Companies:Based on the Perspective of Market Risk

作　　者：郑苏晋[1,2] 郑敏[2] 李炜 Zheng Sujin;Zheng Min;Li Wei(School of Insurance,Central University of Finance and Economics,Beijing 100081;China Institute of Actuarial Science,Central University of Finance and Economics,Beijing 100081)

机构地区：[1]中央财经大学保险学院,北京100081 [2]中央财经大学中国精算研究院,北京100081

出　　处：《管理评论》2019年第10期36-49,共14页Management Review

基　　金：国家自然科学基金项目(71571197);高等学校学科创新引智计划资助项目(B17050);北京市自然科学基金项目(9152016)

摘　　要：本文在经典马克维茨组合理论的基础上,对寿险公司在"偿二代"下需要满足市场风险最低资本要求的资产配置问题进行研究。本文在简化寿险公司所持资产风险收益特征的基础上求解一个二次优化问题,得到带预算约束、卖空约束和投资比例限制的有效投资组合,然后分别计算出监管标准法下和内部模型法下的最低资本要求,最后在给定股东权益比率这一外生变量的条件下,分析有效投资组合的资产配置与偿付能力状况。结论表明,"偿二代"监管标准法下,资产负债的久期缺口对市场风险最低资本要求产生明确的正向影响。因此,降低久期缺口和加强资产负债的期限结构匹配就成为释放冗余资本的有效途径。相比于监管标准法,内部模型法更能描述投资组合的分散化效应以及在风险收益间的权衡,因此会激发寿险公司进行更主动的资产管理,提高利差水平。This paper optimizes a life insurance company’s asset allocation within the framework of the classical Markowitz portfolio theory when the company need adhere to market risk capital requirements of China Risk Oriented Solvency System( C-ROSS). On the basis of simplifying the risk profile of assets held by a life insurer,this paper firstly solves a quadratic optimization problem to obtain the efficient frontier with budget,short-sale and investment constraints,and then calculates minimum capital requirements of different portfolios under both Standard Formula and Internal Model respectively. Finally,this paper analyzes the asset allocation and solvency status of efficient portfolios with an exogenous variable of the equity ratio. The result shows that under the C-ROSS Standard Formula,duration gaps between assets and liabilities have a clear and positive impact on the minimum capital requirement of the market risk. Therefore,reducing duration gaps and strengthening asset-liability matching become an effective way to release redundant capital. Compared with the Standard Formula,the Internal Model can describe the diversification effect and the trade-off between risk and return,so it will motivate life insurers to conduct a more active way of asset management and improve the interest spread level.

关 键 词：市场风险 最低资本 监管标准法 内部模型法 二维正态分布 

分 类 号：F83[经济管理—金融学]