“偿二代”准则下最优保险资产配置策略研究:基于SQP算法  

Optimization of Insurance Asset Allocation under the“C-ROSS”:Based on Sequential Quadratic Programming Algorithm

作　　者：康晗彬 刘勤 石以涛 KANG Han-bin;LIU Qin;SHI Yi-tao(School of Economics, Qingdao University, Qingdao 266061, China;School of Business, Qingdao University, Qingdao 266061, China)

机构地区：[1]青岛大学经济学院,山东青岛266061 [2]青岛大学商学院,山东青岛266061

出　　处：《预测》2020年第6期90-96,共7页Forecasting

基　　金：山东省社会科学规划研究资助项目(16CJJJ16)。

摘　　要：偿二代监管体系实施3年多以来,保险行业整体风险管理能力明显增强。然而,在新的偿二代监管体系下,如何合理配置保险资金以尽可能降低投资风险?这是个值得探究的问题。本文结合监管约束建立偿二代体系下保险资产最优化配置策略:采用序列二次规划算法,以风险最小为投资目标,优化不同期望收益率下的投资组合,并进一步用夏普比率进行最优资产配置。在此基础上,针对经典Markowitz模型与偿二代体系分别优化资产投资比例并与2018实际投资比例进行比较分析。结果表明:保险公司债券类资产实际配置比例低于本文模型最优值,股票和其他投资实际配置比例高于本文模型最优值;建议保险公司采取稳健审慎的投资策略优化债券类资产和股票类资产配置比例以提升保险资金的安全性。After the implementation of China Risk Oriented Solvency System(C-ROSS)for more than three years,the overall risk management capability of the insurance companies has been significantly enhanced.However,under the C-ROSS,how to rationally allocate insurance assets to reduce investment risk as less as possible?This is worth exploring.In this paper,the optimization strategy of insurance assets allocation is established under the C-ROSS:Sequential Quadratic Programming(SQP)algorithm is adopted to optimize the investment portfolio under different return rates,and Sharpe ratio is further used for asset allocation optimization.According to the optimization strategy,the classic Markowitz model and the C-ROSS are respectively used to optimize the assets allocation and a comparative analysis is further made on the investment data of insurance companies in 2018.The results show that the proportion of bond assets is less than the optimal value of the model,and that of stocks and other investments is higher than the optimal value of the model.It is suggested that insurance companies should adopt prudent investment strategies to optimize the investment portfolio to enhance the safety of insurance assets.

关 键 词：“偿二代”准则 资产配置 MARKOWITZ模型 SQP算法 夏普比率 

分 类 号：F840.322[经济管理—保险]