基于我国数据的寿险资产最优配置模型

Optimal Life Insurance Asset Allocation Model based on Chinese Data

根据寿险业的资产负债管理理论,寿险业的投资不仅只考虑投资的收益和风险,负债情况同样也是影响资产配置的重要因素。在我国,保险公司在投资过程中需要考虑的重点因素分别为负债的久期、信用风险和流动性因素。根据我国金融市场中的历史收益率,运用投资组合理论和AHP方法可以计算出我国寿险业资产投资的最优配置组合。

According to asset liability management theories in the insurance industry, life insurance investment should not only consider investment return and risks, but also liability situation. Insurance companies should take into account such important factors as duration of liability, credit risks and liquidity requirements. According to historical investment yield of China＇s financial market, the paper calculated the optimal life insurance asset allocation in China by applying asset allocation theories and AHP method.