保险资金运用与最优监管比例——分红险资产负债管理模型探讨

A Study on Optimal Asset Allocation for Participating Insurance Account under Different Investment Regulations—An Exploration on Asset Liability Management for Participatiy Business

长期以来,中国保监会一直对保险公司的投资业务有着严格的监管规定,并对每类金融资产的投资比例上限有着明确的控制。本文通过建立多期的保险资金最优配置模型,分析在不同的监管限制下最优投资组合的构成,为资金运用监管比例提供一种理论模型的借鉴参考。投资监管的放松将带来最优投资组合的改进,即在满足一定的风险约束下,组合的期望收益率将显著提升。企业债券、基础设施债权以及房地产这三类资产的投资配置监管比例有进一步放松的空间。研究是基于理想状态下所得的最终结果,在现实世界中投资监管有其存在的必要,建议谨慎地逐步放宽投资限制,并逐渐向最优比例靠拢。

China Insurance Regulatory Commission has strict regulation for investments by insurance companies and has explicit allocation limit for each investable financial asset category. The paper studied the optimal portfolios under different investment regulations by constructing a multi-period optimal asset allocation model of insurance funds, hoping to offer some theoretical references for regulations on allowable investment percentages. Furthermore, relaxation of regulations would help to further optimize the portfolio and achieve significantly higher expected invest- ment yields under certain risk constraints. There was room for further lifting the investment percentages of corporate bonds, infrastructure debt and real estates. The conclusions were drawn from ideal situations, and in real world, cer- tain level of regulations were still necessary. Policymakers in China should relax the regulations step by step, gradu- ally approaching the most optimal percentages.