资本约束下的保险公司最优资产配置:模型及路径

Optimal Asset Allocation of Insurance Company Under the Constraint of Solvency:Model and Path

资本是保险公司经营的核心要素,是资产配置的重要约束条件。本文在马克维茨方法的基础上,将偿付能力引入了资产配置的优化模型。在使用改进的优化模型后,保险公司的最优投资组合出现变化,而保险公司的偿付能力充足率相应有所改善。本文还对保险公司期初的资本充足度进行了敏感性分析,结果显示,最优投资组合与保险公司的期初资本有相关关系,期初资本充足率越高,保险公司风险资产的占比可以越高。最后,本文对优化模型的实现路径进行了探讨,对保险公司实践应用该模型提出了建议。

Capital is the key factor of insurance company＇s operating, and it is also an important constraint on asset allocation. Based on Markowitz method, this paper introduced solvency into the optimal asset allocation model. Under the revised model, the optimal portfolio of the insurance company was changed along with improved solvency. This paper also did sensitivity analysis on insurance company＇s initial solvency. The result showed that optimal portfolio was correlated with solvency in a manner that better solvency results in higher ratio of risky assets. Finally, this paper discussed the feasibility of the revised model and gave some suggestions on real practices for insurance companies.