保险资金投资收益目标对资产价格影响研究

A Theoretical Research on the Impacts of Investment Yield Target on Asset Price

通过资产定价理论模型分析了保险资金投资收益目标对资产价格的影响。保险资金的投资收益目标在本文中被分为内生与外生两种。内生投资收益目标适用于市场上保险公司数量较少且规模较大的情况,其中每家保险公司将会关注其竞争对手的投资收益;外生投资收益目标适用于市场上保险公司数量较多、竞争激烈的情况,此时各保险公司均会将自身投资收益的目标设置为超越某基准指数。本文对两种情况分别进行了分析,并通过对两种投资收益目标进行对比分析,发现内生相对业绩对资产价格的影响取决于股利和理赔风险之间的关系,而外生相对业绩对资产价格的影响取决于外生相对业绩和每家保险公司平均需求之间的关系。

This paper studied the impact of investment yield targets on asset prices by applying asset pricing mod- els. We considered two different yield targets： endogenous targets and exogenous targets. The endogenous target was suitable for the situation that there were a few insurance companies in a large market,and each insurance company cared about its relative standing among the peer group. However, exogenous target was suitable for a highly competi- tive insurance market with a large number of insurers, and each insurance company tried to beat a designated bench- mark. Through analyzing these two cases and comparing the two targets, the paper concluded that the impacts of en- dogenous relative performance on asset prices was determined by the relationship between share dividend and claim payment risks, whereas the impacts of exogenous relative performance on asset prices was determined by the rela- tionship between the relative performance and the average needs of each insurance companies.