【作者】 陈婧；

【导师】 刘阳；

【作者基本信息】 西南财经大学 ， 会计（专业学位）， 2013， 硕士

【摘要】 2012年,各国政府为刺激经济扩张而大力加强基础设施建设投资,全球财产保险保费加速增长。瑞士再保险亚洲首席经济师黄硕辉表示：“随着车险市场的放开,保险公司拥有更多的定价自由权,市场放开和解除管制的趋势将令消费者受益,并有助于改善行业的总体效率和竞争力。”保险业是我国金融业的支柱行业之一,加快保险业改革发展不仅有利于应对灾害事故风险,而且能够保障人民生命财产安全和经济稳定运行。我国于1980年恢复保险行业以来,保险业得到了健康、持续和快速的发展。伴随着保险业业务量的增长,保险公司所面临的内外部环境也发生着剧烈的变化。保险公司经营环境风险、承保风险、理赔风险、分保风险、信用风险、巨灾风险、投资风险等风险加剧。另外,日益频繁的自然灾害使保险业承担的巨灾损失金额越来越高,所面临的巨灾风险加剧,资金流动性风险越来越大。保险公司是典型的负债经营型企业,其资产负债管理的好坏直接关系到保险公司自身抗风险能力以及经营稳定性和盈利性,因此资产负债管理是企业管理的一个重要目标,是增加企业价值的一个重要途径。目前,资产负债管理方法多为传统的、静态的方法,如现金流匹配技术、现金流测试技术、免疫技术等,它们有各自的优点,但也具有较大的局限性。伴随着保险公司经营外部环境风险的不断增大,传统的、静态的资产负债管理方法已经难以应对经济环境中日益复杂多变的风险,因此动态财务分析作为一种动态的、先进的技术应运而生。动态财务分析(Dynami c Financial Analysis, DFA)主要考察保险公司所面临资产负债风险、承保风险和投资风险,建立数量模型将影响公司的诸多风险考虑在内,随机的、动态的预测公司未来财务状况和经营成果,以达到帮助公司规避风险、实现盈利、增加企业价值的目的。当前我国对于资产负债管理的研究仍停留在传统的、静态的分析方法上,对于DFA的研究也处在刚刚起步阶段,缺乏深入详细的探讨,而在实体公司的应用就更是没有。基于上述背景和我国现状,本文借此学位论文机会对DFA这种新型分析方法进行研究,并进一步探讨其在我国财产保险公司的实际应用。本文在对全文总体概述和对所读文献进行综述的基础上,首先从保险公司资产负债管理技术的发展历程说起,阐述了资产负债管理的涵义以及该理论是如何产生和发展的,分析了目前财产保险公司应用的资产负债管理技术,归纳出财产保险公司实行动态资产负债管理的必要性；接着介绍了DFA的主要方法以及框架、结构,对影响财产保险公司资产负债管理的风险进行分类,再针对财险公司面临的关键风险因素进行DFA各个模块的构建与参数估计；然后以中国人民财产保险公司(PICC P&C)为案例,分析说明DFA在我国财产保险公司资产负债管理中的应用；最后总结本文所做的主要工作及不足,并对未来研究工作进行展望。更多还原

【Abstract】 2012, the governments of various countries strengthened the construction investment of the infrastructure in a more cost-effective manner for stimulating economic expansion. The premium of global property insurance increased with a higher speed. Asian chief economist Shuohui Huang of Swiss Reinsurance said:"With the unlocking of market of car insurance, the insurance company has more free right of pricing, the market will make consumers benefited if the market unlocks and removes the trend be controlled, facilitate improving the overall efficiency and competitiveness of the trade." The insurance is one of the pillar trades of the financial circles of our country, since our country resuming insurance trade from1980, the insurance has gotten healthy and lasting development. Accompanied by the growth of insurance’s portfolio, the domestic and outside environment that the insurance company faces is changing violently too. Management environment risks are to aggravate. In addition, the catastrophe losses makes insurance bear heavier and heavier, catastrophe risks that insurance companies faced are aggravated, the liquidity risk of the fund is higher and higher.The insurance company is the typical manageability enterprise in debt, the quality of asset-liability management is related to insurance company’s own ability, stability and profitability to resist risk. So the asset-liability management is an important goal of business management, it is an important route of increasing enterprise’s value. At present, official procedures of the asset-liability are mostly traditional, static methods, such as the cash flow matching, cash flow test, immunization etc., they have their own advantages, but also have limitations. Managing the constant increase of the external environment condition risk accompanying by in the insurance company, the traditional, static asset-liability procedures have been difficult to reply the complicated and changeable risks, so the dynamic financial analysis is born.Dynamic Financial Analysis (DFA) mainly investigates insurance company’s insurance risk and investment risk and it sets up quantity model to measure these risks to predict company’s future financial situation and management performance, In order to achieve the goal of helping the company to evade the risk, making profits and increasing enterprise’s value. The research of management of asset-liability of our country still stays on the traditional, static analytical method at present, as to the research of DFA was at the starting stage just now, there are not the detailed discussion and the application in entities. Based on the background described above and the current situation of our country, I will make a discussion of DFA such a new analytical method, and further probe into its practical application in the property insurance companies of our country.At the foundation of general overviewing the whole article and to literature the other articles of the survey in DFA, the paper first talked about the development of asset-liability theory, explained the meaning of asset-liability management and how it has developed. Then the paper analyzed the asset-liability management that exists in property insurance companies of our country currently and found it is very necessary for property insurance companies to set up the system of dynamic financial analysis in asset-liability management. The paper has introduced the main method, frame and structure of DFA and has classified the risks that influencing the asset-liability management of property insurance companies. The paper then constructed models to model the key risk factors the insurance companies have faced and selected Peoples Insurance Company of China (PICC P&C) as a case to analyze the application of DFA in asset-liability management of property insurance companies. At last the paper summarized the groundwork I have taken and look forward to the research in the future.更多还原