【作者】 田君；

【导师】 陈伟忠；

【作者基本信息】 同济大学 ， 技术经济及管理， 2006， 博士

【摘要】 二十世纪80年代末到90年代初，美国寿险业曾出现过较大规模的偿付能力危机，90年代后期日本寿险公司出现了大规模倒闭现象。中国寿险业在改革开放的二十余年中得到了迅速发展，但是由于外部经营环境的改变，特别是金融市场与经济因素的连动反应使寿险公司和投保人的行为发生了改变，使我国寿险业存在巨大的潜在风险，即资产与负债不匹配风险。负债管理的不适当或资产管理的不适当最终造成资产与负债之间的不匹配是寿险公司经营失败的本质原因，也是寿险利差损产生的根本原因，而保险投资是化解利差损的重要手段。中国保险业面临的投资环境以及保险业全面对外资开放迫使寿险公司必须进行有效的投资管理。资产负债管理可以从根本上改变寿险公司的投资理念和投资策略，使寿险公司能够规避各种风险特别是利率风险，在保证偿付能力的基础上获得盈余。 基于资产负债管理的寿险投资是一个比较复杂的问题，要做好寿险公司的资产负债管理与投资，需要从寿险公司的投资组合、风险控制、投资管理体制、投资监管等多个角度综合考虑。国际寿险投资管理的发展趋势是运用资产负债管理理论来管理寿险投资，通过资产和负债的合理匹配来规避利率风险。资产负债管理要求投资管理、财务管理、寿险精算三位一体，投资经理、财务专家、精算师密切协调，将资产管理与负债管理结合起来。我国寿险公司要加强投资管理，一方面应该强化投资机构的设置，聘请资深的投资专家进行投资运作，根据目前金融工具的特点并随着中国金融市场的发展，设计最合理的投资组合，包括金融品种的组合、投资期限的组合、投资行业的组合以及投资区域的组合，另一方面要借鉴国外寿险投资管理的经验，通过资产和负债的合理匹配，保证保险公司的偿付能力。 本文研究基于资产负债管理的中国寿险业投资问题，深入研究中国寿险业的资产负债管理理论与技术发展、寿险投资组合策略、寿险投资风险控制、寿险投资管理体制以及投资监管等问题。 第一章：引言。介绍了本文的选题背景与研究意义，简要评述了相关领域的国内外研究进展，并概括了本文的主要研究内容与创新点。更多还原

【Abstract】 From the end of 1980s to the beginning of 1990s, American life insurance industry suffered large-scale solvency crisis, while many Japanese life insurance companies went bankrupt in late 1990s. Chinese life insurance industry has been developing rapidly since China adopted the policy of reform and opening up over 20 years ago, but as a result of the change of exterior management environment, especially the change of insurance companies’ and policy-holders’ behaviors caused by the interactive reaction between the financial market and the economic factors, life insurance industry is confronted with huge latent risk, namely asset and liability mismatch risk. Improper liability management or unsuitable asset management is the essential reason for life insurance companies’ bankruptcy, also the basic cause for interest rate risk, while insurance investment is an important means to solve the spread risk. The investment environment the Chinese insurance industry is now facing, as well as the complete opening up of insurance business to the foreign capital force life insurance companies to take effective investment measures. Asset Liability Management (ALM), which may fundamentally change investment philosophy and investment strategy of life insurers, enables life insurance companies to avoid all kinds of risks, especially interest rate risk, and make profit with solvency guaranteed.Life insurance investment based on ALM is a complicated problem. To implement ALM and investment successfully , we need to consider, in a comprehensive way, different kinds of factors concerning life insurance companies such as investment portfolio, risk control, investment management system, investment regulation and so on. The development tendency for investment and management of international life insurance industry is to manage investment using ALM theory, to avoid the spread risk by reasonably matching asset and liability. ALM requires the complete integration of investment management, financial control and life insurance actuarial, and close coordination of investment manager, financial expert, and actuary, which unify asset management and liability management. To strengthen investment management, Chinese life insurance companies should, on one更多还原