金融强监管下保险公司最优资产配置决策研究——基于《保险资产负债管理监管规则(1-5号)》  

A Study of Optimal Asset Allocation Decision of Insurance Companies under Strong Financial Supervision:Based on the Regulatory Rules on Insurance Asset Liability Management(No.1-5)

作　　者：王颖 姚萌超 WANG Ying;YAO Men-chao(PICC Life Insurance Company Limited,Beijing 100020;Sichuan University,Chengdu 611130,China)

机构地区：[1]中国人民人寿保险股份有限公司投资研究部,北京100020 [2]四川大学商学院,四川成都611130

出　　处：《江西财经大学学报》2022年第6期69-82,共14页Journal of Jiangxi University of Finance and Economics

基　　金：教育部人文社会科学青年基金项目“考虑消费者策略性行为的企业间产品创新竞合策略研究”(20YJC630037);中央高校基本科研业务费专项资金“宏观风险下的股债联合定价研究”(63202031)。

摘　　要：为防控资产负债错配风险,2018年《保险资产负债管理监管规则(1-5号)》(以下简称《资负规则》)正式出台,资产负债匹配成为资产配置时必须要考虑的因素。以简化的分红险账户为研究对象,采用多目标随机规划,特别加入了《资负规则》对资产负债匹配的要求,构建了资产负债管理模型,通过数值模拟分析了《资负规则》实施前后对保险公司经营及资产配置决策影响。研究表明:第一,构建的模型能够联动反映公司内部经营管理目标、偿付能力和资产负债匹配等外部约束对资产配置决策的影响,现行资产负债管理监管体系下保险公司资产配置时更倾向于加大固定收益类资产的投资。第二,《资负规则》不对资产配置构成强约束,负债特征不同、对匹配程度要求不同会导致资产配置结构有较大差异。第三,《资负规则》实施后久期缺口明显缩小,但不一定降低组合的投资收益率。In order to prevent the risk of asset liability mismatch,the Regulatory Rules for Insurance Asset Liability Management(No.1-5)(hereinafter referred to as the Asset Liability Rules)has been officially implemented since 2018,asset liability matching becomes a factor that must be considered in asset allocation.Taking the simplified participating insurance accounts as the research object,this paper constructs an asset liability management model by employing a multi-objective stochastic programming,especially adding the requirements of the asset Liability Rules on the asset liability matching.Through numerical simulation,it analyzes the impact before and after the implementation of the Asset Liability Rules on the operation and asset allocation decision of insurance companies.The findings show that,firstly,the constructed model can reflect the impact of external constraints such as corporate internal operation and management objectives,solvency and asset liability matching on asset allocation decisions,and thatunder the current asset liability management and supervision system insurance companies prefer to increase their investments in fixed income assets when allocating assets.Secondly,the Asset Liability Rules does not constitute a strong constraint on asset allocation,the differences in the liability characteristics and in the requirements for the matching degree will lead to larger differences in the asset allocation structure.Thirdly,the duration gap has been significantly narrowed after the implementation of the Asset Liability Rules,but it does not necessarily to reduce the return on investment of the portfolio.

关 键 词：保险监管 资产负债管理 资产配置 

分 类 号：F840.328[经济管理—保险]