保险资产负债环境变化与资产配置策略

Asset Liability Environment Changes and Asset Allocation Strategy for Insurance Funds

保险资产配置是一个多目标优化过程,需要在资产负债管理的总体框架下,考虑负债成本要求、财务稳健性要求、偿付能力要求、资本市场约束和资金运用监管约束等。近年来,我国保险资金运用面临的外部约束——负债环境、监管环境和投资环境均出现一系列深刻变化,对保险资产配置也提出更高要求:一是成本收益匹配难度明显上升,二是资负久期匹配重要性显著提升,三是负债业务转型对投资管理提出更加多元化要求,四是投资管理精细化要求程度提升。基于这些变化,本文建议:切实优化资产负债管理,多措并举,探索符合自身实际、应对相对低利率环境的道路;做好新形势下权益资产的配置与管理,提升长期收益水平,从根本上规避利差损风险。

Asset allocation for insurance funds is a multi-objective optimization process,which needs to consider liability cost requirements,financial robustness requirements,solvency requirements,capital market constraints and other regulatory constraints under the overall framework of asset-liability management(ALM).In recent years,there have been a series of profound changes in the liability environment,regulatory environment and investment environment of insurance funds,which puts forward higher requirements for insurance funds investment management.First,the dificulty of cost-yield matching has increased significantly;second,the importance of duration matching has significantly increased;third,the transformation of life insurance business has put forward more diversified requirements for investment management;and fourth,the requirement for refinement of investment management has been lifted.As a response to these changes,this paper puts forward some suggestions that insurance institutions should improve the effectiveness of ALM and explore ways that suit its own actual conditions to cope with a relatively low interest rate environment.It is also critical to better manage the equity portfolio under the new situation,which can improve the level of long-term returns and thus avoid the risk of spread loss fundamentally.