【摘要】 基于保险公司经营的特殊性,研究了在偿付能力约束下的保险公司的最优资本结构问题,提出了最优化保险公司资本结构的一种新的方式。保费收入作为保险公司的负债,其成本相对固定,本文以股东收益最大化为目标确定最优资本投入,从而确定保险公司的最优资本结构。通过对未来经济情景和保险产品收支的模拟,确定不同初始资本投入的最优投资策略和与之对应的资本投资收益率,进而选择能获得最高收益率的初始资本投入为最优的资本投入。与此同时,进一步分析了承保风险边际和经济环境的变化对保险公司资本结构的影响。更多还原

【Abstract】 This paper studied the optimal capital structure of an insurance company under the restriction of solvency,and put forward a new way to determine the optimal capital structure based on the particularity of an insurance company.Premium income is the liabilities of an insurance company,and it has a relatively fixed cost of capital.We determined the optimal capital input for maximization of shareholder returns,and in turn,arrived at the optimal capital structure of an insurance company.Through the simulation of the future economic scenarios and the revenue and expenses of insurance products,we determined the optimal investment strategies for different level of initial capital and the return on initial capital,and then we chose the initial capital which had the highest investment yield as the optimum capital input.At the same time,the paper also analyzed the impacts of underwriting risk margins and economic environment changes on the capital structure of an insurance company.更多还原