【作者】 胡涛；

【导师】 卢晓勇；

【作者基本信息】 南昌大学 ， 数量经济学， 2005， 硕士

【摘要】 保险投资是现代保险业得以生存和发展的重要支柱。从微观层次看,保险投资不仅可以弥补承保亏损并获利,而且能够降低产品价格,扩大市场占有率,提高公司的竞争地位;从宏观层次看,一个国家的保险投资状况与该国保险业的偿付能力与保险经营的稳定性呈现高度的相关性。在我国成为WTO成员国之后,随着2004年1月国务院《关于推进资本市场改革开放和稳定发展的若干意见》的实施,为拓宽保险投资渠道打开了新的突破口,保险公司资金运用将会有更多的渠道、更多的方式、更多的方法。因此,如何适应保险市场发展的需要,如何对保险资金进行投资成为当前的一项重要课题。 本文试图总结出适用于我国保险公司进行投资决策的投资组合方法,它是基于对马科威茨(Markowitz)组合选择模型分析的基础上,提出的一种采用多目标方法的投资组合决策模型,用于指导我国保险公司的投资行为。 本文首先简要介绍了本课题的基本情况,保险资金和保险投资的基本概念,对保险投资的原则以及保险投资工具做了相关的论述。在此基础上,通过对国内外保险投资状况的历史和现状的对比分析,提出了目前我国保险投资仍存在的一些主要问题。此外还介绍了现代投资理论中的资产负债管理理论、投资风险管理理论和投资组合管理理论,并对这些理论在保险投资中的运用进行详尽地论述。 文章的主要部分讨论了马科威茨(Markowitz)组合选择模型的假设条件、具体形式以及在保险投资中的适用性分析。在此基础上,本文建立了多目标投资组合决策模型,并对模型进行了求解,最后通过实证分析验证了多目标投资组合决策模型更加适用于我国保险公司的投资组合决策。更多还原

【Abstract】 Insurance investment is an important mainstay for insurance industry to survive and develop. Insurance investment enables insurance companies not only to offset their possible policy losses and make a profit, but also to decrease the prices of their products, enlarge their market share and get more advantages in marketing competition. If we view from the whole industry and country level, the situation of a country’s insurance investment is highly correlated with the solvency capability and the stable development of the industry. After China joined the WTO, the Act of ’Some advice on improving the innovation and stable development of capital market’, which was enforced by the State Department on Jan.2004, increased many more channels for insurance investment. Thus, how to meet the demand of the development of insurance market and how to invest insurance capital became an important issue immediately.This paper is attempting to summarize an investment portfolio model that is adaptable to Chinese situation best. Based on the analysis on Markowitz portfolio model, the model is a kind of multi-aimed method and can be used to direct the investment behavior of Chinese insurance companies.The paper briefly introduced some background information of the issue at the beginning, defined the concept of insurance capital and insurance investment, and then discussed basic principles of insurance investment and tools of insurance investment. Furthermore, by analyzing and comparing the history and current situation of national and international insurance investment, the paper put forward some primary problems on Chinese insurance investment. Additionally, Asset-liability theory, Investment risk management theory and Investment portfolio theory, which are parts of Modern investment theory, together with their applications, were introduced.The paper mainly discussed the hypothesis conditions, detailed form and its adaptability on insurance investment of Markowitz portfolio model. Additionally, the paper defined a multi-aimed investment portfolio strategic model, solved it and finally demonstrated that it is more adaptable for Chinese insurance companies.更多还原