偿二代与资产负债匹配约束下寿险公司最优资产配置

Optimal Asset Allocation of Life Insurance Companies Under The Constraints of C-ROSS and Asset-liability Matching

保险公司资产配置需要同时考虑资产负债匹配和风险-收益均衡。本文在偿二代对保险资产负债匹配的隐性要求和保险资产负债管理监管规则对资产负债匹配的显性要求下,考察了资本占用和久期匹配约束下的险资投资策略,研究了保险公司的最优资产配置问题。结果显示:负债久期较长的寿险公司很难同时满足偿二代资本要求和资产负债久期匹配要求;保险资产负债管理监管规则对保险公司资产配置策略产生显著影响;资产收益特征设定下,保险公司资产配置策略有改进空间。本文的创新点是依据保险资产负债管理监管规则显性地引入资产负债匹配要求,同时在偿二代与资产负债匹配约束下研究了寿险公司最优资产配置。

The insurance companies need to consider both asset-liability matching and risk-return balance in asset allocation.This paper examined insurers′investment strategy under the constraints of capital requirements and duration matching from the implicit requirements of the C-ROSS and the explicit asset-liability matching requirements of"The Regulation on Insurance Asset Liability Management",and then studied the optimal asset allocation of insurance companies.The results show that:firstly,it is difficult for life insurance companies with long liability duration to meet the C-ROSS capital requirements and asset-liability duration matching at the same time;secondly,"The Regulation on Insurance Asset Liability Management"has a significant impact on insurance company asset allocation strategies;thirdly,under the asset return characteristics setting,there is room for improvement in the asset allocation strategy of insurance companies.The innovation of this article is to explicitly introduce asset-liability matching requirements according to the"The Regulation on Insurance Asset Liability Management",and to study the optimal asset allocation of life insurance companies under the constraints of C-ROSS and asset-liability matching.