【作者】 刘宇；

【导师】 叶德磊；

【作者基本信息】 华东师范大学 ， 世界经济， 2008， 博士

【摘要】 中国保险资金运用从2003年《保险法》的修订开始就进入了一个改革管理模式、拓宽投资领域的新时代。到2007年底,保险可投资的品种几乎已经涵盖了我国证券市场的所有种类,保险投资的规模有了巨大的增长。保险投资制度设计者和参与者们共同面对的局面是,一方面下一步如何进一步提升保险业与证券市场对接的深度和质量,另一方面中国证券市场历经20年左右的持续培育,特别是完成了股权分置改革之后,即将迈入一个崭新的历史阶段,新的衍生金融工具市场的发展已经提上了议事日程。保险业是资本市场中风格最为保守的一类投资者,而衍生金融工具市场是资本市场中风险水平最高的一类子市场,从这个角度看两者似乎处在矛盾的两极。但是,从另一个角度看,保险业和衍生金融工具市场都是风险汇聚并再转移者,从这个意义上说两者在市场经济体系中的功能又有着某种先天的一致。那么,保险业和金融衍生工具市场这一对矛盾到底在何种程度上可以予以统一进而互动双赢呢?本文从保险业介入衍生金融工具市场的内在理论动机、典型国家保险业运用衍生金融工具的历史渊源及特征偏好探究、保险业运用衍生金融工具效果的计量经济学检验、保险业衍生金融工具运用风险的宏微观管控六大角度论证了保险业与衍生金融工具市场对接的经济必要性和可行性。在此基础上结合中国实际对我国保险业与衍生金融工具市场对接的制度设计作了原则阐述。在保险业介入衍生金融工具市场的理论动机方面,笔者将传统企业运用衍生品的动机与保险机构的特点相结合,主要从回避财务困境、满足保单持有人效用最大化、满足管理层效用的自利动机三个角度细致发掘了保险业运用衍生金融工具的内在特殊理论动因。认为第一,保险公司财务困境的期望成本很高,进而必然会有很强烈的内在动机去尝试运用各种低成本风险对冲工具以防范财务困境的发生。其次,在保单购买人效用最大化的理性假设前提下,投保人对保险机构违约风险的特殊敏感性、投保人和债权人合二为一给保险机构财务管理带来的压力、保险公司违约预期的自增强机制都会反过来促使保险机构寻找先进的风险对冲工具保值。第三,随着保险公司股份制改的不断推进以及对企业经理人激励约束机制不断完善,大多数情况下保险机构运用衍生金融工具的愿望都会凸现出来。在典型国家保险业运用衍生金融工具市场的历史渊源、特征偏好以及具体可运用策略方面,第一,以美国作为典型,全面回顾了1980年代后期美国保险业在经营过程中面临的经济金融环境,定性分析总结了当时促使美国保险业纷纷开始涉足衍生金融工具市场的七大动因。它们分别是:保险业的风险补偿属性和金融中介属性,国际保险产品升华创新、金融资产价格剧烈波动以及保险监管和金融报告制度变革的压力,上世纪70年代后国际衍生产品市场的蓬勃发展态势。第二,选取美国保险业过去十余年运用衍生金融工具的数据进行了数量统计,细致分析了运用衍生金融工具的保险企业的特征、品种偏好,发现了其中的规律。第三,根据美欧等国保险机构运用衍生金融工具的实践,按照运用目的总结归纳了九大类运用,从实证层面进一步论证阐述保险业运用衍生金融工具的必然性和可行性。在保险业运用衍生金融工具效果的计量经济学检验方面,以在纽约证券交易所(NYSE)和美国证券交易所(AMEX)、美国全国证券交易商协会自动报价系统(Nasdaq)、场外柜台交易系统(OTCBB)挂牌交易的美国保险上市公司相关经营数据为研究样本,根据保险机构的经营特点选取解释和被解释变量构建计量分析模型,运用时期数较少而横截面个体较多的Panel Data方法对样本进行了计量检验和敏感性分析。发现衍生金融工具使用对保险公司的市场价值较未使用者在大多数情形下具有提升作用,也证实了衍生金融工具使用为保险公司的总资产收益率、净资产收益率、每股保费收入、每股收入和每股经营现金流较未使用者带来的正面效应,为宏微观层面进一步探讨保险业与衍生金融工具市场的对接提供了有力的逻辑支持。在保险业衍生金融工具运用风险的宏微观管控方面,分层次选择作者认为重要的风险管理问题进行了研究。在宏观监管层次,首先总结比较了保险发达国家监管衍生品运用的三种模式的基本运作机制和特点。第二,根据美国早期放开保险机构投资衍生金融产品的四个州的相关规定和国际保险监督官协会(IAIS)历年调查问卷,对各国和地区有所保留放开保险机构运用衍生金融工具的相关规定进行了详细的研究,归纳了其中的规律。第三,仔细比较了世界发达各国、主要国际组织在会计准则层面和保险监管层面关于衍生金融工具的信息披露要求,并以加拿大金融监管当局为例探讨了保险监管规定与会计准则互相结合、以规范保险机构衍生产品运用信息披露工作的具体要点。在微观运用机构的风险管理层次,阐述了各国和国际组织关于运用衍生金融工具机构的内部风险管理共同原则。在此基础上根据IAIS《保险机构参与衍生金融工具交易监管标准》,对衍生金融产品风险管理控制流程必须包含的因素,以及内部管理职能设置的指导原则进行了重点研究阐述,并对该类保险机构内部组织机构设置作出了一般原则设计。最后,通过对我国金融衍生品市场发育历史回顾、近年来我国保险投资结构变迁及其与保险发达国家如美国、日本比较等方面,从保险机构的参与对当前我国衍生金融工具市场发育的意义、衍生金融工具市场发展对我国现阶段保险业资产和负债管理的意义三个方面论述了保险业与金融衍生工具市场对接的必要性。进一步地,结合中国实际对我国保险业与衍生金融工具市场的对接制度设计提出了原则建议。建议的重点集中在三个方面:1、衍生工具在使用过程中关于运用主体、比例、策略,交易的衍生品品质和形式以及法律风险的限制规定;2、运用衍生工具者的信息披露要求;3、建立完善的风险内控机制以加强对衍生品头寸的控制。其中设想了未来我国放开保险公司运用衍生金融产品的“分步走”策略,阐明了应制定保险机构运用衍生金融工具专门信息披露监管指引的建议,述及了完整的衍生品内部风险管理体系起码应该包括三个层次四个部分的构思。更多还原

【Abstract】 Application of insurance funds has come into a new era which features reformed management mode and broader investment fields in China.By the end of 2007,almost all the varieties in the securities market were available to insurance industry,and insurance investment scale expanded substantially.What the insurance supervisor and investors have to deal with is,on he one hand,how to promote the depth and quality of insurance industry’s accesses into securities market,on the other hand,after 20 years consistent development,especially the completion of non-tradable share reform,Chinese stock market will come into a brand-new stage,and the launch of financial derivatives market also was put into agenda.Insurance industry is the most conservative investor in capital market,while financial derivatives market is the most risky sub-market in financial derivatives market,so seemingly there are contradictions between the two stuffs.When seeing at another angle,we may find the two conflicting factors are both risk assembler-then-transferer,we can say they function almost the same way in market economy system.So the question is at what extent can this pair of composites unifies and interacts & reaches a win-win? Here this paper tries to demonstrate the economic necessity and feasibility of insurance industry’s welding with financial derivatives market from six angles,internal theoretic motivation of insurance industry’s access into financial derivatives market,history review of practical motivation of insurance industry’s application of financial derivatives in typical advanced countries,typical strategy and operation of financial derivatives among insurance institutes,econometrical tests on the effect of insurance industry’s application of financial derivatives,macro and micro risk control in the application of financial derivatives. Based on these researches and considering the specific situation in china,the author also designed a mechanism on insurance industry’s welding with financial derivatives market.Regarding theoretical motivation of insurance industry’s accesses into securities market, combining traditional enterprises’ motivation on derivatives application and insurance industry’s features,the author elaborated special internal theoretical motivation of insurance industry’s application of financial derivatives from three major angles,avoiding financial distress, maximizing policy holder’s utility,and satisfying management’s egocentric motivation.My points of view are as follows:firstly,expectant cost of insurance company’s financial distress is very high,so they have strong motive to try various low-cost derivatives to prevent financial distress. Secondly,under the rational premise of maximizing policy holder’s utility,policy holder’s special sensibility on insurance company’s default risk,pressure caused to insurance institute’s financial management by the status of policy holder and also debtee,insurance institute’s self-intensification mechanism on default expectation will,in reverse,make insurance institute go to find advanced tools for hedging.Thirdly,with the progress of insurance institute’s shareholding reform and perfecting of manager incentive and restraint mechanisms,insurance institute’s desire to the application of financial derivatives will stand out most of the time.As regard to practical motivation of insurance industry’s successive access into financial derivatives in typical countries,firstly,the author took the United States as an example,reviewed the economic and financial environment which American insurance industry faced during their operation in the late 1980s,then summarized the seven major motivations which enabled American insurance industry to engage in financial derivatives market.The seven major motivations are as follows:risk premium and financial intermediary attribute of insurance industry, innovation of insurance products,volatile fluctuation of financial assets price,watchdog’s regulation pressure,the change of the financial report rule and booming financial derivatives in 1970s.Secondly,the author also pick up the datum of American insurance industry’s application of financial derivatives in the past few decades,and also carry out statistical analysis on the figures,study the relative companies’ features,variety preference and purpose on financial derivatives usuage in order to find an inherent law.Thirdly,to summarize nine purpose,the anther furtherly clarifies the rationality of the financial derivatives application by insurers.The author picked up operation data of American insurance companies which get listed in NYSE,AMEX,Nasdaq and OTCBB as sample statistics,chose explained variable and explaratory variable according to its operation attributes to build an econometric analysis model,and use Panel Data method to carry out econometric test and sensibility analysis.According to the research results,market value of those insurance institutes which used financial derivatives increased compared with those not used.Meanwhile it did bring positive effects to specific indicators including ROA,premium income per share,ROE,EPS etc.All of these econometric test result provides logical support to insurance industry’s welding with financial derivatives market,from both the micro level and macro level.On macro and micro risk control in the application of financial derivatives,the author researched major risk control issues by means of decision tree analysis.On the macro regulation level,firstly,he summarizes and compares basic application mechanism and attributes of financial derivatives regulation in developed countries.Secondly,according to IAIS’s questionnaire,he compares specific regulations on application of financial derivatives among insurance institutes in all countries and areas,induces laws behind it.Lastly,he compares requirement on information disclosure rules of financial derivatives made by major international accounting organizations and insurance supervisor in developed countries.Also,he takes Canada as an example,discusses key points in information disclosure specification,combining insurance regulation and accounting postulates.On the micro level,he demonstrates common principles on inner management of insurance institutes which get involved with financial derivatives among the world and major international accounting organizations.Based on this and IAIS’s "regulatory standard on insurance constitutes’s engagement of financial derivatives",he elaborates essential factors during control process in risk management and guideline of function setting in insurance company’s inner organizations,and fundamentally designs inner constitutes function setting in insurance companies.Lastly,the author reviews development history of Chinese financial derivatives market and insurance investment structure change in recent years,makes a comparison with developed countries like the United States and Japan.And elaborates necessity of Chinese insurance industry’s welding with financial derivatives market from three major angles:the meaning of insurance industry’s access to development of Chinese financial derivatives market,the meaning of Chinese financial derivatives market development to current assets and debt management in current insurance industry.Then he make suggestions about the mechanism of Chinese insurance industry’s welding with financial derivatives market,its focus are as follows:1.Regulation on financial derivatives application institute,usuage proportion,strategy,quality and legal risk during its application etc.2.Requireme on information disclosure of financial derivatives 3. Establishment of a perfect inner risk control mechanism in order to strengthen control over derivatives positions.Among those focus,he puts forward three-stage strategy of insurance industry’s accesses into financial derivatives market,suggests a regulation guideline on specific information disclosure of financial derivatives,summarizes the three level and four parts that a perfect risk management system should have.更多还原