摘要
"十三五"仍是保险业发展的黄金机遇期,保险资金在坚持"保险姓保"的基础上要更加深刻认识和发挥自身独特优势,研究探索适合资金特性的配置模式,从而更好地于服务经济社会发展。本文选用Black-Litterman模型并结合马克维茨模型及时间序列模型对经济增长不同时期的保险资产最优配置进行了模型优化、数值模拟和政策建议等三方面的研究。研究结果表明:保险资产配置是一个动态优化进程,需综合考量宏观经济发展、投资者风险偏好、政策制度约束、资本市场走势等不同维度的诸多因素,其配置应从关注规模数量的比例配置到关注特性质量的模式配置转变,从重视结果导向的比例调整向重视因素驱动的模式优化转变。
The ＂Thirteen- Fifth＂ Plan Period is still the industry. Insurers should optimize its insurance fund asset products offering real protection＂ and capitalizing on their golden opportunity for the development of the insurance allocation while adhering to the principle of＂ insurance own advantages, thus serving economic and social development better. The article chose the Black - Litterman model for optimal allocation of insurance assets and focused the researches on model optimization, numerical simulation studies and policy recommendations. The results showed that insurance assets allocation was a dynamic optimization process, and needed to consider macroeconomic ele- ments, policy system constraints, capital markets trend, stock on. It also should shift from focusing on scale and amount to trading mechanism, and investor risk preference and so features and quality, and from percentage optimization to model optimization driven by different factors.
作者
王颢
潘文捷
WANG Hao PAN Wenjie(School of Economics and Management, Wuhan University, Hubei Wuhan 430072 Shanghai Lixin University of Accounting and Finance, Shanghai 200030)
出处
《保险研究》
CSSCI
北大核心
2016年第12期37-58,共22页
Insurance Studies
