商业保险资金运用投资优化与风险管理研究
|
摘要
根据国外保险市场发展规律来看,保险业发展往往伴随着宏观经济环境的变化而发生周期性的改变,在周期性变化过程中呈现出一定的规律性,随着未来市场份额竞争的日趋激烈,保险公司的发展将逐渐从大力发展保险产品向提升保险资金的投资运用能力转变。也就是说,保险公司未来的发展将越来越重视保险资金投资运用业务。有鉴于此,中国保险业未来发展应将资金运用业务放到战略高度加以把握,在积极拓宽保险资金运用渠道基础上,控制好投资风险,提高保险资金的投资收益率。
本文首先对保险资金运用和风险管理的国内外文献进行了整理,对现代投资组合理论、风险管理理论、在险价值VaR分析法,作了较为系统的阐述,为中国保险资金运用于资本市场问题的研究提供理论依据,将保险公司保费定价、投资运作与风险控制融合在一个统一的视阂中,进行监控。
具体而言,找出中国保险业收益率下降困境的表现,归类为保险市场发展过快、资本市场产品不足、及对风险管理的理念不足造成收益率下降。为期能对中国保险资金运用提供借鉴,一方面总结分析发达国家在保险资金投资运用的成功经验,如美国：对保险资金的安全性要求较高；设立一般账户和独立账户,将风险高的资产分离。英国：投资结构比较特殊,以股票为主、宽松的监管,但是英国拥有发达的保险业、成熟的资本市场、高效的监管。日本：保险资金投资房地产市场一定要慎重；应该更加重视利率风险；加强“反周期”预警。
另一方面,借鉴文化血缘语言相近台湾在保险资金运用方面的成功经验,通过Markowitz的资产组合理论,以保险业的保险资金运用为例进行了实证研究,从风险矩阵中发现：与人寿保险基金资产的原投资标的的相关性极低,境外投资有分散风险的作用,但应注意汇兑风险及避险成本；项目运用及公共投资项目,有分散风险的作用,但需另考虑报酬率水平及稳定的现金流量。通过数据收集和模型应用对保险资金投资组合优化深入研究,重点考察了流动性、市场利率和系统性风险对保险资金投资的影响程度和决定因素。
最后,本文使用在险价值VaR分析法系统分析了保险投资的风险,研究了保险资金投资用的风险管理测算工具、风险传导机制和防范及治理措施。对中国保险资金投资运用优化组合和风险管理建设性建议并对未来的研究方向做出了展望。
According to the law of the development of foreign insurance market point of view, the development of the insurance industry is often accompanied by changes in the macroeconomic environment and the occurrence of periodic change, has a certain regularity in the periodic variation in the process, with the future market competition is becoming increasingly fierce, the insurance company's development will gradually develop insurance products to promote insurance the ability to use the funds investment. That is to say, the insurance company future development will be more and more attention to business investment of insurance funds. In view of this, the funds should be used in strategic business to grasp the future development of China's insurance industry, actively broaden the insurance fund investment channel basis, control investment risk, increase the rate of return on investment of insurance funds.
Firstly, I sort out the literatures of insurance funds and risk management which covering domestic and foreign area. In order to provide a theoretical basis for the study, I collected and elaborated the modern portfolio theory, risk management theory and VaR analysis system systematically. This is the purpose to solve the problems of the application of insurance funds that occurred in the China's capital market. Especially, I try to put Insurance product pricing、insurance funds'investment and risk management in a window for observing.
Secondly, based on the present situation and problems of China's insurance funds utilization basis, I found that the income is not high and the risk is too high. By summarizing and analyzing the successful experience of the United States of America, British, Japanese and Taiwan investment in the use of insurance funds, in order to provide reference for China's insurance funds utilization. This paper took insurance funds application as a case study and went through in-depth analysis of the Markowitz's portfolio theory.
Furthermore, to the insurance fund investment portfolio optimization research, I went through data collection and model application. It reveals the main factors of the investment of insurance funds utilization. This paper also focused more on the effects of degree and decided to liquidity, market interest rates and the systemic risk of insurance funds investment factors.
Finally, this study used the VaR to analyze the insurance funds investment risk. And I also studied the risk management measure tool, risk conduction mechanism and prevention and governance measures for the same purpose. The objective is to give constructive suggestions for China's insurance funds investment in portfolio optimization and best risk management. The last but not the least is to prospect the future research direction.
本文首先对保险资金运用和风险管理的国内外文献进行了整理,对现代投资组合理论、风险管理理论、在险价值VaR分析法,作了较为系统的阐述,为中国保险资金运用于资本市场问题的研究提供理论依据,将保险公司保费定价、投资运作与风险控制融合在一个统一的视阂中,进行监控。
具体而言,找出中国保险业收益率下降困境的表现,归类为保险市场发展过快、资本市场产品不足、及对风险管理的理念不足造成收益率下降。为期能对中国保险资金运用提供借鉴,一方面总结分析发达国家在保险资金投资运用的成功经验,如美国：对保险资金的安全性要求较高；设立一般账户和独立账户,将风险高的资产分离。英国：投资结构比较特殊,以股票为主、宽松的监管,但是英国拥有发达的保险业、成熟的资本市场、高效的监管。日本：保险资金投资房地产市场一定要慎重；应该更加重视利率风险；加强“反周期”预警。
另一方面,借鉴文化血缘语言相近台湾在保险资金运用方面的成功经验,通过Markowitz的资产组合理论,以保险业的保险资金运用为例进行了实证研究,从风险矩阵中发现：与人寿保险基金资产的原投资标的的相关性极低,境外投资有分散风险的作用,但应注意汇兑风险及避险成本；项目运用及公共投资项目,有分散风险的作用,但需另考虑报酬率水平及稳定的现金流量。通过数据收集和模型应用对保险资金投资组合优化深入研究,重点考察了流动性、市场利率和系统性风险对保险资金投资的影响程度和决定因素。
最后,本文使用在险价值VaR分析法系统分析了保险投资的风险,研究了保险资金投资用的风险管理测算工具、风险传导机制和防范及治理措施。对中国保险资金投资运用优化组合和风险管理建设性建议并对未来的研究方向做出了展望。
According to the law of the development of foreign insurance market point of view, the development of the insurance industry is often accompanied by changes in the macroeconomic environment and the occurrence of periodic change, has a certain regularity in the periodic variation in the process, with the future market competition is becoming increasingly fierce, the insurance company's development will gradually develop insurance products to promote insurance the ability to use the funds investment. That is to say, the insurance company future development will be more and more attention to business investment of insurance funds. In view of this, the funds should be used in strategic business to grasp the future development of China's insurance industry, actively broaden the insurance fund investment channel basis, control investment risk, increase the rate of return on investment of insurance funds.
Firstly, I sort out the literatures of insurance funds and risk management which covering domestic and foreign area. In order to provide a theoretical basis for the study, I collected and elaborated the modern portfolio theory, risk management theory and VaR analysis system systematically. This is the purpose to solve the problems of the application of insurance funds that occurred in the China's capital market. Especially, I try to put Insurance product pricing、insurance funds'investment and risk management in a window for observing.
Secondly, based on the present situation and problems of China's insurance funds utilization basis, I found that the income is not high and the risk is too high. By summarizing and analyzing the successful experience of the United States of America, British, Japanese and Taiwan investment in the use of insurance funds, in order to provide reference for China's insurance funds utilization. This paper took insurance funds application as a case study and went through in-depth analysis of the Markowitz's portfolio theory.
Furthermore, to the insurance fund investment portfolio optimization research, I went through data collection and model application. It reveals the main factors of the investment of insurance funds utilization. This paper also focused more on the effects of degree and decided to liquidity, market interest rates and the systemic risk of insurance funds investment factors.
Finally, this study used the VaR to analyze the insurance funds investment risk. And I also studied the risk management measure tool, risk conduction mechanism and prevention and governance measures for the same purpose. The objective is to give constructive suggestions for China's insurance funds investment in portfolio optimization and best risk management. The last but not the least is to prospect the future research direction.
引文
1 叶晓凌、黄卫华：关于扩大保险投资领域的新思路[J],云南财贸学院学报(社会科学版),2003(18)第61-62页
1 肖文、谢文武,保险公司投资环境分析[J],保险研究,2000(10)；陈朝先,保险资金与资本市场发展[J],财经科学,2000(02)；彭志刚,保险资金入市,一切刚刚开始[J],银行家,2005(05);李俊芸,保险资金入市后的风险及其防范[J],湖北社会科学,2005(8)；张红,析国有保险公司的内部控制[J],保险研究,2004(12)；郑汉杰,保险资金运用的法律规制[J],当代法学,2001(08)；王国良,发展商业保险,构建和谐社会[J],保险研究,2005(06)；费安玲、王绪瑾,保险投资监管法律问题的思考[J],北京商学院学报,2000(1)。
1 朱铭来、卓宇,2008,AIG危机对我国保险业的启示,中国金融,2008第21期
1 戴国强.徐龙炳.陆溶.VAR方法对我国金融风险管理的借鉴及应用[J].金融研究
1 陈学华,韩兆洲,唐例.基于VAR RAROC的保险基金最优化研究[J],数量经济技术经济研究.2006
1 菲利普乔瑞.var：风险价值[M].中信出版社。
1 申卓明.运用VaR工具分析投资组合风险[J].财会月刊,2008(9)
1 张峰,胡艳莲.金融风险度量VaR方法及其应用[J].长春师范学院学报,2010(5)。
1 王健,方强.封闭式证券投资基金业绩实证分析[J].武汉理工大学学报(社会科学版),2010(1)。
[1]Babbel,David Rand Arthur B.Hogan.Incentive confliets and portfolio choice in the insurance industry,[J].Journal of Risk and Insurance.VOI.LIX,1992, vol.4:pp.645-654.
[2]Bangia,Diebold&Schuermann. Liquidity on the outside,[J].Risk 2000,vol.33:, pp.68-731.
[3].Bangia,Diebold, Sehuermann&Stroughair. modeling liquidity risk with Implications for the traditiona lmarket risk measurement and management, Working PaPer, The Wharton School-University Pennsylvania.
[4].Basak S., Shapiro A.Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices. Working Paper, The Wharton School,1999.
[5].Beder,T.S.VAR: Seduetive but dangerous. [J].Financial Analysts Journal SeP/Oct,1995 vol.20:pp.12-24.
[6].Bekaert G, Harvey andT.E.Viskanta. Distributional Characteristics of Emerging Market Returns and Asset Allocation,[J].Joumal of Portfolio Management,1998, vol.13:pp.102-116.
[7].Benders J.F.Partitioning Procedures for Solving Mixed-Variables Programming Problems, [J]. Numeric Mathematic,1962,vol4:pp.238-252.
[8].Bertsimas,1998, Optimal control of execution costs,[J].Journal of Financial Marketsl, vol.33:pp.490-501.
[9].Black.towards a fully automated exehange:Part 1,[J].Financial Analyst Journal vol. 27:,PP.29-341.
[10].Boender GC.E.A Hybrid Simulation/optimization Scenario Model for Asset Liability Bradley S.P. and D.B.Crane. A Dynamic Model for Bond portfolio Management, [J]. Management Scienee,1972, vol.19:PP.139-151.
[11].Borovkov Konstantin,Klebaner Fima C.and Virag Eleanor.Random SteP Function Model for Interest Rates, [J].Finance and Stochastic,2003, vol.7:pp.123-143.
[12].Boulier J.F., Huang S.J.,and Taillard G.Optimal management under stochastic interes trates: the case of a protected pension fund.In Proceedings.of the 3rd IMF Conference, London,1999, pp.1-23.
[13].Carino D.R., T.Kent, D.H.Myers, C.Staey, M.Sylvanus, A.L.Turner, K.Watanbe and W.T.Ziemba. The Russel-yasuda Kasai Model:An Asset Liability Model for a Japanese Insurance Company Using Multi-stage Stochastic Programming,Interfaces,1994,vol24:pp.29-49.
[14].Castellani, M.DeFelice, F. Morison. Asset-liability Management: Semi-deterministic and Stochastic Approach, TRANS of the 24th International Congress of Actuaries,1992,Vol.2: pp.35-55.
[15].Consigli Gand M.A.H.Dempster. Dynamic Stochastic Programming For Asset Liability Management,[J].Annals of Operations Researeh,1998,vol81:pp.131-162.
[16].CoxJ.C., Ingersoll J.,and Ross S.Atheory of the term-structure of interest rates, [J]. Econometric 1985, vol.53:pp.385-408.
[17].Cees Dert.A dynamic mode lfor asset liability management for defined benefit Pension funds, Worldwide Asset and Liability Modeling, edited by William T.Ziemba and John M. Mulvey, Cambridge University Press,1998, pp.501-536.
[18].Chance, D.M.and Jordan, J.V, Duration, Convexity, and Times as Components of bond Retuns, Journal of Fixed income,1996, vol.9:pp.88-96.
[19].Christensen, P.O.and Sorensen, B. G,Duration, Convexity, and Times value, [J]. Journal of Portfolio Management,1994, vol.23:pp.51-60.
[20].CzyzykJ., R. Fourer and S.Mehrotra. Using massively Parallel processor to Solve Large Sparse Linear Programs by an Interior-Point Method, SIAM,[J] Journal on Scientific Computing, 1998, vol.19:pp.553-565.
[21].Doherty N.A The Design of Insurance Contracts when Liability Rules are Martin Holmer. Integrated asset-liability management: an implementation case study, Worldwide Asse tand Liability Modeling, edited by William T.Ziemba and John M. Mulvey, Cambrdige University Press,1998, pp.581-608.
[22].Duan,Jin-ehuan,Yu,Min The Fair insuranxe guaranty Premia in the Presence of risk- based capital regulations, stochastic interes trate and catastrophe risk,[J] Journal of Banking and Finance, 2005, Vol.29 pp.35-54.
[23].El Karoui,Nicole Jean Blanc, Monique, Laeoste, Vincent. Optimal portfolio management with American capital guarantee, Journal of Economic Dynamics and Control,2005, vol.29:pp.449-468.
[24].Fisher, I,.Appreciation and Interest[J]. Publication of American Economic Association,1986, vol.11:pp.23-29.
[25].Froot A.K., Scharfstein D.S., Stern J.C. A framework for risk management[J]. Harvard Business Review,1994, vol.83:pp.91-102.
[26].Gondzio J.Warm Start of the Primal-dual Method Applied in the Cutting Plane Scheme[J].Mathematical Programming,1998,vol.83:pp.125-143.
[27].Hiller R.S., Eckstein J.Stochastic dedication: Designing fixed income Portfolios using massively Parallel benders decomposition [J].Management Science1993, vol.39, pp.1422-1438.
[28].Jan Mosio (1966), Equilibrium in a Capital Assets Market Econometric, October 1966.
[29].Jamshidian,F, An Exact bond Option Formula[J]. Journal of Finance,1989, vol.44: pp.205-209.-
[30].Kahn,Ronald N., Fixed Income Risk Modeling in the 1990[J].Journal of Portfolio Management, Fall,1995, vol.3,pp.94-101.
[31].Williamson, S.D.,1986, Mostly Monitoring, Financial Intermediaries and the Effectiveness of Monetary Control. Journal of Economics, pp.135-145.
[32].Pritsker M. Evaluating value at risk methodologies: Accuracy versus computational time[J] Journal of Financial Services Researeh,1997, vol.12:pp.201-242.
[33].Rudolf, Markus, Ziemba, William. T, Intertemporal surplus management, Journal of Economic Dynamics and Control,2004, vol.28 pp.975-990.
[34].Ruszczynski A A Regularized Decomposition Method for Minimizing a Sum of polyhedral Functions[J].Mathematical Programming,1984,vol33:pp.309-333.
[35].Sharp W.F.,Capital Asset Price: A theory of Market Equilibrium under Conditions of Risk[J]. Joural of Finance,1964, Vol.10, pp.425-442.
[36]Chopra, V. K. and. W. T. Ziemba.The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice[J] Journal of Portfolio Management,1993, Vol.13, pp.6-11.
[37]Dembo, R.Scenario Optimization[J]. Annals of Operation Research,1991, Vol.14, pp.267-284.
[38]Edesess, M. and H. A. HambrechtScenario Forecasting:Necessity Not Choice, "Financial Analysts Journal,1990, vol.1, pp.11-19.
[39]Eckstein, Z, Eichenbaum, M.&Peled D.Uncertain Lifetime and the Welfare enhancing Properties of Annuity Markets and Social Security[J]. Journal of Public Economics,1985, Vol.26, pp.303-326.
[40]Farrell, J. L., A Fundamental Forecast Approach Superior Asset Allocation[J].Financial Analysts Journal,1989, vol.3, pp.32-37.
[41]Fabozzi, F. J. and G. Fong, Fixed Income Portfolio Management, Dow Jones-Irwin, Homewood, Illinois,1985
[42]Koskosidis, Y.A. and A.M. Duarte, A Scenario-based Approach to Active Asset Allocation, [J].The Journal of Portfolio Management,1997,Vol.1423:pp.74-85.
[43]Krouse, A. J. Catastrophe Insurance, Capital Markets and Uninsurable Risks[J]. Journal of Reinsurance,1970, Vol.14, pp.46-57.
[44]Markowitz, H. M., Portfolio Selection:Efficient Diversification of Investment, New Haven: Yale University 27 Press.1959.
[45]Markowitz, H. M. Portfolio Selection[J].The Journal of Finance,1952, Vol.28:pp.77-91.
[46]Rothshchild, M.& Stiglitz, J. Equilibrium in Competitive Insurance Markets:An Essay on Economics of Imperfect Informance[J]. Quarterly Journal of Economics,1976, Vol.90: pp.629-669.
[47]Shaw, Edward. Financial Deepening in Economic Development (New York:Oxford University Press),1973.
[48]Yoon, R. D. Controlling Insurance Risks and Consumer Costs[J]Journal of Insurance Regulation,1993, Vol.28;pp.81-94.
[49]Anna Grazia Quaranta, Alberto Zaffaroni. Robust optimization of conditional value at risk and portfolio section[J]. Journal of BANKING&FINANCE.2008
[50]Bernanke, B.S. and Gertler, M., Agency Cost, Collateral, and Business Fluctuation, NBER working paper,1986, No.2015.
[51]McKinnon, R.I.Money and Capital in Economic Development, Washington, D.C.: Brookings Institute.1973.
[52]Pagano, M.Financial Markets and Growth:An Overview[J]. European Economic Review, 1993, Vol-4:pp.613-622.
[53]Patrick, H.T..The Role of Money in the Development Process:Financial Development and Economic Growth in Underdeveloped Countries, Collected in Economic Development and Cultural Change,1966, Vol.14:pp.30-40.
[54]Schumpeter, J.A. The Theory of Economic Development, Cambridge, MA:Harvard University Press.1911.
[55]Shaw, E.S. Financial Deepening in Economic Development, Cambridge, MA:Harvard University Press.1973.
[56]Culbertson, J M-The term structure of interest rates [J]-Quarterly Journal of Economics, 1957,Vol.14:pp.130-140.
[57]Michel Crouhy, Robert Mark, Dan Galai. Risk management [M].McGraw-Hill,2000-
[58]Jean-Charles Rochet, Jean Tirole-Controlling risk in payment system, journal of money[J]-Credit and Banking,2006,Vol-28:pp.205-22-
[59]Keith B Johnson-Investment organization, policy and practice in property-liability insurance [J]-The Journal of Risk and Insurance,1972,Vol-39:pp.154-160.
[60]魏巧琴.保险投资学[M].上海.上海财经大学出版社,2008.
[61]彭雪梅.保险会计学[M].成都.西南财经大学出版社,2008.菲利普乔瑞.陈跃译.VaR：风险价值[M].中信出版社,2005.
[62]林俊国.证券投资学[M].经济科学出版社,2006.
[63]孟昭亿.保险资金运用国际比较[M]中国金融出版社,2005.
[64]李秀芳.中国寿险业资产负债管理研究[M].中国社会科学出版社,2002.
[65]秦旭.保险投资的风险管理理论与方法研究[D].天津大学,2003.
[66]强强.中国现行保险监管法律制度研究[D].吉林大学,2010.
[67]韦锋.中国寿险资金投资问题研究[D].广西大学,2006.
[68]夏媛媛.保险资金运用风险管理研究[D].山东大学,2010.
[69]乌日罕.VaR方法在中国保险资金投资中的应用研究[D].内蒙古大学,2009.
[70]周通.基于VaR理论的保险投资风险研究[D].中南大学,2009.
[71]马杰.中国保险资金投资风险管理研究[D].对外经济贸易大学,2006.
[72]王沁.保险资金运用法律监管研究[D].上海交通大学,2011.
[73]王红梅.保险公司经济资本管理应用研究[D].浙江工商大学,2008.
[74]于知菲.保险资金的投资组合模型研究[D].哈尔滨工业大学,2007.
[75]王永兵.中国保险资金运用渠道研究[D].北京交通大学,2011
[76]姜珊.中国保险资金投资问题研究[D].首都经济贸易大学,2011.
[77]李亚敏.中国保险资金运用问题研究[D].复旦大学,2007.
[78]曹怡.中国保险投资现状及最优投资组合研究[D].天津大学,2005.
[79]朱晓云.论中国保险资金的运用及风险管控[D].对外经济贸易大学,2007.
[80]中国保险监督管理委员会官网：http://www.circ.gov.cn/web/site0/.
[81]李强,叶旭刚,祝佳.VAR模型计算与应用[J].中国管理科学,2000(5).
[82]牛萍.国内外保险资金运用对比分析[J].交通科技与经济,2009.
[83]曲扬.保险资金运用的国际比较与启示[J].保险研究,2008(6).
[84]戴国强,徐龙炳,陆榕.VAR方法对中国金融风险管理的借鉴及应用[J].金融研究,2008(6).
[85]陈学华,韩兆洲,唐珂.基于VARRAROC的保险基金最优化研究[J].数量经济技术经济研究,2006(4).
[86]申卓明.运用VaR工具分析投资组合风险[J].财会月刊,2009(2).
[87]阎栗,付江涛.VaR模型及其在寿险公司风险管理中的应用[J].保险研究,2009(2).
[88]陈成,宋建明.保险资金不动产投资模式研究[J].保险研究,2009(3).
[89]徐丹.中国保险业资金运用及监管[J].山西财经大学学报,2011(3).
[90]陈卓明.保险资产管理公司如何持续发展[J].中国保险报,2011(5).
[91]王建华,李楚霖.度量与控制金融风险的新方法[J].武汉理工大学学报.2002(3).
[92]朱建平.中国保险业经济资本管理的实证研究[J].南京审计学院学报,2009(4).
[93]杨明.保险资金运用新规的历史跨越[J].保险研究,2011(11).
[94]袁萍,庄娜.借鉴保险资金运用历史完善社保基金投资机制[J].财经研究,2008(10).
[95]巴曙松.保险资金拓展运用与金融市场发展[J].中国金融,2007(4).
[96]章晓霞,梁冰.投资组合保险策略在保险公司中的应用与实证分析[J].保险研究,2008(3).
[97]刘毅,李晋.美国保险资金运营方式值得我国借鉴[J].保险研究,2006(6).
[98]段善雨.我国保险资金的运用渠道及其风险管理[J].经济经纬,2007(4).
[99]陆爱勤.保险投资组合策略研究[J].上海金融,2007(10).
[100]张艳妍,吴韧强.美国保险资金运用的分析及借鉴[J].金融与经济,2008(10).
[101]王寒,辜毅.保险资金投资多元化的若干效应[J].中国保险,2007(9).
[102]陈芝凯.浅议保险资金运用渠道的拓宽及风险管理[J].金融与经济,2007(3).
[103]陆爱勤.保险投资组合策略研究[J].上海金融,2007(10).
[104]慕刘伟.关于中资保险公司上市若干问题的思考[J].金融研究,2003(1).
[105]许荣,毛宏灵.国际比较视野中的中国保险资金运用[J].金融与经济,2006(4).
[106]傅强,李万有.我国保险资金运用问题研究[J].武汉金融,2007(8).
[107]张洪涛.美日英韩四国及台湾地区保险资金运用的启示[J].保险研究,2006(3).
[108]张祖荣.保险资金运用的条件约束与策略选择探讨[J].现代财经,2008(11).
[109]熊军红等.利率和汇率变动对保险业影响的比较分析[J].中央财经大学学报,2006(5).
[110]杨明生.对保险资金运用与监管的思考[J].保险研究,2008(8).
[111]许均华,李启亚.宏观政策对我国股市影响的实证研究[J].经济研究,2001(9).
[112]尚晓阳.保险资金进入股市的理论思考[J].经济师,2002(11).
[113]王绪谨.论后起工业国和地区保险投资的演进及其启迪[J].南京经济学院学报,1999,(3).
[114]江晓东.股票收益率波动的实证研究[J].东南学术,2002,(4).
[115]宋逢明,江婕.中国股票市场波动性特性的实证研究[J].金融研究,2003,(2).
[116]王岩,张英华.保险资金运营与基金组织结构的完善[J].保险研究,2002,(7).
[117]张峰,胡艳连.金融风险度量VaR方法及其应用[J].长春师范学院学报,2006(5).
[118]余海丰,张道明.美国上市财产保险公司的投资风险[J].保险研究,2006(08).
[119]张维.保险资金证券投资风险测度的实证分析[J].保险研究,2006(05).
[120]朱江.我国保险资金运用的问题与对策[J].经济研究,2008(10).
[121]胡伟益,王波.保险资金运用风险的分析模式探讨[J].保险研究,2006(11).
1 肖文、谢文武,保险公司投资环境分析[J],保险研究,2000(10)；陈朝先,保险资金与资本市场发展[J],财经科学,2000(02)；彭志刚,保险资金入市,一切刚刚开始[J],银行家,2005(05);李俊芸,保险资金入市后的风险及其防范[J],湖北社会科学,2005(8)；张红,析国有保险公司的内部控制[J],保险研究,2004(12)；郑汉杰,保险资金运用的法律规制[J],当代法学,2001(08)；王国良,发展商业保险,构建和谐社会[J],保险研究,2005(06)；费安玲、王绪瑾,保险投资监管法律问题的思考[J],北京商学院学报,2000(1)。
1 朱铭来、卓宇,2008,AIG危机对我国保险业的启示,中国金融,2008第21期
1 戴国强.徐龙炳.陆溶.VAR方法对我国金融风险管理的借鉴及应用[J].金融研究
1 陈学华,韩兆洲,唐例.基于VAR RAROC的保险基金最优化研究[J],数量经济技术经济研究.2006
1 菲利普乔瑞.var：风险价值[M].中信出版社。
1 申卓明.运用VaR工具分析投资组合风险[J].财会月刊,2008(9)
1 张峰,胡艳莲.金融风险度量VaR方法及其应用[J].长春师范学院学报,2010(5)。
1 王健,方强.封闭式证券投资基金业绩实证分析[J].武汉理工大学学报(社会科学版),2010(1)。
[1]Babbel,David Rand Arthur B.Hogan.Incentive confliets and portfolio choice in the insurance industry,[J].Journal of Risk and Insurance.VOI.LIX,1992, vol.4:pp.645-654.
[2]Bangia,Diebold&Schuermann. Liquidity on the outside,[J].Risk 2000,vol.33:, pp.68-731.
[3].Bangia,Diebold, Sehuermann&Stroughair. modeling liquidity risk with Implications for the traditiona lmarket risk measurement and management, Working PaPer, The Wharton School-University Pennsylvania.
[4].Basak S., Shapiro A.Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices. Working Paper, The Wharton School,1999.
[5].Beder,T.S.VAR: Seduetive but dangerous. [J].Financial Analysts Journal SeP/Oct,1995 vol.20:pp.12-24.
[6].Bekaert G, Harvey andT.E.Viskanta. Distributional Characteristics of Emerging Market Returns and Asset Allocation,[J].Joumal of Portfolio Management,1998, vol.13:pp.102-116.
[7].Benders J.F.Partitioning Procedures for Solving Mixed-Variables Programming Problems, [J]. Numeric Mathematic,1962,vol4:pp.238-252.
[8].Bertsimas,1998, Optimal control of execution costs,[J].Journal of Financial Marketsl, vol.33:pp.490-501.
[9].Black.towards a fully automated exehange:Part 1,[J].Financial Analyst Journal vol. 27:,PP.29-341.
[10].Boender GC.E.A Hybrid Simulation/optimization Scenario Model for Asset Liability Bradley S.P. and D.B.Crane. A Dynamic Model for Bond portfolio Management, [J]. Management Scienee,1972, vol.19:PP.139-151.
[11].Borovkov Konstantin,Klebaner Fima C.and Virag Eleanor.Random SteP Function Model for Interest Rates, [J].Finance and Stochastic,2003, vol.7:pp.123-143.
[12].Boulier J.F., Huang S.J.,and Taillard G.Optimal management under stochastic interes trates: the case of a protected pension fund.In Proceedings.of the 3rd IMF Conference, London,1999, pp.1-23.
[13].Carino D.R., T.Kent, D.H.Myers, C.Staey, M.Sylvanus, A.L.Turner, K.Watanbe and W.T.Ziemba. The Russel-yasuda Kasai Model:An Asset Liability Model for a Japanese Insurance Company Using Multi-stage Stochastic Programming,Interfaces,1994,vol24:pp.29-49.
[14].Castellani, M.DeFelice, F. Morison. Asset-liability Management: Semi-deterministic and Stochastic Approach, TRANS of the 24th International Congress of Actuaries,1992,Vol.2: pp.35-55.
[15].Consigli Gand M.A.H.Dempster. Dynamic Stochastic Programming For Asset Liability Management,[J].Annals of Operations Researeh,1998,vol81:pp.131-162.
[16].CoxJ.C., Ingersoll J.,and Ross S.Atheory of the term-structure of interest rates, [J]. Econometric 1985, vol.53:pp.385-408.
[17].Cees Dert.A dynamic mode lfor asset liability management for defined benefit Pension funds, Worldwide Asset and Liability Modeling, edited by William T.Ziemba and John M. Mulvey, Cambridge University Press,1998, pp.501-536.
[18].Chance, D.M.and Jordan, J.V, Duration, Convexity, and Times as Components of bond Retuns, Journal of Fixed income,1996, vol.9:pp.88-96.
[19].Christensen, P.O.and Sorensen, B. G,Duration, Convexity, and Times value, [J]. Journal of Portfolio Management,1994, vol.23:pp.51-60.
[20].CzyzykJ., R. Fourer and S.Mehrotra. Using massively Parallel processor to Solve Large Sparse Linear Programs by an Interior-Point Method, SIAM,[J] Journal on Scientific Computing, 1998, vol.19:pp.553-565.
[21].Doherty N.A The Design of Insurance Contracts when Liability Rules are Martin Holmer. Integrated asset-liability management: an implementation case study, Worldwide Asse tand Liability Modeling, edited by William T.Ziemba and John M. Mulvey, Cambrdige University Press,1998, pp.581-608.
[22].Duan,Jin-ehuan,Yu,Min The Fair insuranxe guaranty Premia in the Presence of risk- based capital regulations, stochastic interes trate and catastrophe risk,[J] Journal of Banking and Finance, 2005, Vol.29 pp.35-54.
[23].El Karoui,Nicole Jean Blanc, Monique, Laeoste, Vincent. Optimal portfolio management with American capital guarantee, Journal of Economic Dynamics and Control,2005, vol.29:pp.449-468.
[24].Fisher, I,.Appreciation and Interest[J]. Publication of American Economic Association,1986, vol.11:pp.23-29.
[25].Froot A.K., Scharfstein D.S., Stern J.C. A framework for risk management[J]. Harvard Business Review,1994, vol.83:pp.91-102.
[26].Gondzio J.Warm Start of the Primal-dual Method Applied in the Cutting Plane Scheme[J].Mathematical Programming,1998,vol.83:pp.125-143.
[27].Hiller R.S., Eckstein J.Stochastic dedication: Designing fixed income Portfolios using massively Parallel benders decomposition [J].Management Science1993, vol.39, pp.1422-1438.
[28].Jan Mosio (1966), Equilibrium in a Capital Assets Market Econometric, October 1966.
[29].Jamshidian,F, An Exact bond Option Formula[J]. Journal of Finance,1989, vol.44: pp.205-209.-
[30].Kahn,Ronald N., Fixed Income Risk Modeling in the 1990[J].Journal of Portfolio Management, Fall,1995, vol.3,pp.94-101.
[31].Williamson, S.D.,1986, Mostly Monitoring, Financial Intermediaries and the Effectiveness of Monetary Control. Journal of Economics, pp.135-145.
[32].Pritsker M. Evaluating value at risk methodologies: Accuracy versus computational time[J] Journal of Financial Services Researeh,1997, vol.12:pp.201-242.
[33].Rudolf, Markus, Ziemba, William. T, Intertemporal surplus management, Journal of Economic Dynamics and Control,2004, vol.28 pp.975-990.
[34].Ruszczynski A A Regularized Decomposition Method for Minimizing a Sum of polyhedral Functions[J].Mathematical Programming,1984,vol33:pp.309-333.
[35].Sharp W.F.,Capital Asset Price: A theory of Market Equilibrium under Conditions of Risk[J]. Joural of Finance,1964, Vol.10, pp.425-442.
[36]Chopra, V. K. and. W. T. Ziemba.The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice[J] Journal of Portfolio Management,1993, Vol.13, pp.6-11.
[37]Dembo, R.Scenario Optimization[J]. Annals of Operation Research,1991, Vol.14, pp.267-284.
[38]Edesess, M. and H. A. HambrechtScenario Forecasting:Necessity Not Choice, "Financial Analysts Journal,1990, vol.1, pp.11-19.
[39]Eckstein, Z, Eichenbaum, M.&Peled D.Uncertain Lifetime and the Welfare enhancing Properties of Annuity Markets and Social Security[J]. Journal of Public Economics,1985, Vol.26, pp.303-326.
[40]Farrell, J. L., A Fundamental Forecast Approach Superior Asset Allocation[J].Financial Analysts Journal,1989, vol.3, pp.32-37.
[41]Fabozzi, F. J. and G. Fong, Fixed Income Portfolio Management, Dow Jones-Irwin, Homewood, Illinois,1985
[42]Koskosidis, Y.A. and A.M. Duarte, A Scenario-based Approach to Active Asset Allocation, [J].The Journal of Portfolio Management,1997,Vol.1423:pp.74-85.
[43]Krouse, A. J. Catastrophe Insurance, Capital Markets and Uninsurable Risks[J]. Journal of Reinsurance,1970, Vol.14, pp.46-57.
[44]Markowitz, H. M., Portfolio Selection:Efficient Diversification of Investment, New Haven: Yale University 27 Press.1959.
[45]Markowitz, H. M. Portfolio Selection[J].The Journal of Finance,1952, Vol.28:pp.77-91.
[46]Rothshchild, M.& Stiglitz, J. Equilibrium in Competitive Insurance Markets:An Essay on Economics of Imperfect Informance[J]. Quarterly Journal of Economics,1976, Vol.90: pp.629-669.
[47]Shaw, Edward. Financial Deepening in Economic Development (New York:Oxford University Press),1973.
[48]Yoon, R. D. Controlling Insurance Risks and Consumer Costs[J]Journal of Insurance Regulation,1993, Vol.28;pp.81-94.
[49]Anna Grazia Quaranta, Alberto Zaffaroni. Robust optimization of conditional value at risk and portfolio section[J]. Journal of BANKING&FINANCE.2008
[50]Bernanke, B.S. and Gertler, M., Agency Cost, Collateral, and Business Fluctuation, NBER working paper,1986, No.2015.
[51]McKinnon, R.I.Money and Capital in Economic Development, Washington, D.C.: Brookings Institute.1973.
[52]Pagano, M.Financial Markets and Growth:An Overview[J]. European Economic Review, 1993, Vol-4:pp.613-622.
[53]Patrick, H.T..The Role of Money in the Development Process:Financial Development and Economic Growth in Underdeveloped Countries, Collected in Economic Development and Cultural Change,1966, Vol.14:pp.30-40.
[54]Schumpeter, J.A. The Theory of Economic Development, Cambridge, MA:Harvard University Press.1911.
[55]Shaw, E.S. Financial Deepening in Economic Development, Cambridge, MA:Harvard University Press.1973.
[56]Culbertson, J M-The term structure of interest rates [J]-Quarterly Journal of Economics, 1957,Vol.14:pp.130-140.
[57]Michel Crouhy, Robert Mark, Dan Galai. Risk management [M].McGraw-Hill,2000-
[58]Jean-Charles Rochet, Jean Tirole-Controlling risk in payment system, journal of money[J]-Credit and Banking,2006,Vol-28:pp.205-22-
[59]Keith B Johnson-Investment organization, policy and practice in property-liability insurance [J]-The Journal of Risk and Insurance,1972,Vol-39:pp.154-160.
[60]魏巧琴.保险投资学[M].上海.上海财经大学出版社,2008.
[61]彭雪梅.保险会计学[M].成都.西南财经大学出版社,2008.菲利普乔瑞.陈跃译.VaR：风险价值[M].中信出版社,2005.
[62]林俊国.证券投资学[M].经济科学出版社,2006.
[63]孟昭亿.保险资金运用国际比较[M]中国金融出版社,2005.
[64]李秀芳.中国寿险业资产负债管理研究[M].中国社会科学出版社,2002.
[65]秦旭.保险投资的风险管理理论与方法研究[D].天津大学,2003.
[66]强强.中国现行保险监管法律制度研究[D].吉林大学,2010.
[67]韦锋.中国寿险资金投资问题研究[D].广西大学,2006.
[68]夏媛媛.保险资金运用风险管理研究[D].山东大学,2010.
[69]乌日罕.VaR方法在中国保险资金投资中的应用研究[D].内蒙古大学,2009.
[70]周通.基于VaR理论的保险投资风险研究[D].中南大学,2009.
[71]马杰.中国保险资金投资风险管理研究[D].对外经济贸易大学,2006.
[72]王沁.保险资金运用法律监管研究[D].上海交通大学,2011.
[73]王红梅.保险公司经济资本管理应用研究[D].浙江工商大学,2008.
[74]于知菲.保险资金的投资组合模型研究[D].哈尔滨工业大学,2007.
[75]王永兵.中国保险资金运用渠道研究[D].北京交通大学,2011
[76]姜珊.中国保险资金投资问题研究[D].首都经济贸易大学,2011.
[77]李亚敏.中国保险资金运用问题研究[D].复旦大学,2007.
[78]曹怡.中国保险投资现状及最优投资组合研究[D].天津大学,2005.
[79]朱晓云.论中国保险资金的运用及风险管控[D].对外经济贸易大学,2007.
[80]中国保险监督管理委员会官网：http://www.circ.gov.cn/web/site0/.
[81]李强,叶旭刚,祝佳.VAR模型计算与应用[J].中国管理科学,2000(5).
[82]牛萍.国内外保险资金运用对比分析[J].交通科技与经济,2009.
[83]曲扬.保险资金运用的国际比较与启示[J].保险研究,2008(6).
[84]戴国强,徐龙炳,陆榕.VAR方法对中国金融风险管理的借鉴及应用[J].金融研究,2008(6).
[85]陈学华,韩兆洲,唐珂.基于VARRAROC的保险基金最优化研究[J].数量经济技术经济研究,2006(4).
[86]申卓明.运用VaR工具分析投资组合风险[J].财会月刊,2009(2).
[87]阎栗,付江涛.VaR模型及其在寿险公司风险管理中的应用[J].保险研究,2009(2).
[88]陈成,宋建明.保险资金不动产投资模式研究[J].保险研究,2009(3).
[89]徐丹.中国保险业资金运用及监管[J].山西财经大学学报,2011(3).
[90]陈卓明.保险资产管理公司如何持续发展[J].中国保险报,2011(5).
[91]王建华,李楚霖.度量与控制金融风险的新方法[J].武汉理工大学学报.2002(3).
[92]朱建平.中国保险业经济资本管理的实证研究[J].南京审计学院学报,2009(4).
[93]杨明.保险资金运用新规的历史跨越[J].保险研究,2011(11).
[94]袁萍,庄娜.借鉴保险资金运用历史完善社保基金投资机制[J].财经研究,2008(10).
[95]巴曙松.保险资金拓展运用与金融市场发展[J].中国金融,2007(4).
[96]章晓霞,梁冰.投资组合保险策略在保险公司中的应用与实证分析[J].保险研究,2008(3).
[97]刘毅,李晋.美国保险资金运营方式值得我国借鉴[J].保险研究,2006(6).
[98]段善雨.我国保险资金的运用渠道及其风险管理[J].经济经纬,2007(4).
[99]陆爱勤.保险投资组合策略研究[J].上海金融,2007(10).
[100]张艳妍,吴韧强.美国保险资金运用的分析及借鉴[J].金融与经济,2008(10).
[101]王寒,辜毅.保险资金投资多元化的若干效应[J].中国保险,2007(9).
[102]陈芝凯.浅议保险资金运用渠道的拓宽及风险管理[J].金融与经济,2007(3).
[103]陆爱勤.保险投资组合策略研究[J].上海金融,2007(10).
[104]慕刘伟.关于中资保险公司上市若干问题的思考[J].金融研究,2003(1).
[105]许荣,毛宏灵.国际比较视野中的中国保险资金运用[J].金融与经济,2006(4).
[106]傅强,李万有.我国保险资金运用问题研究[J].武汉金融,2007(8).
[107]张洪涛.美日英韩四国及台湾地区保险资金运用的启示[J].保险研究,2006(3).
[108]张祖荣.保险资金运用的条件约束与策略选择探讨[J].现代财经,2008(11).
[109]熊军红等.利率和汇率变动对保险业影响的比较分析[J].中央财经大学学报,2006(5).
[110]杨明生.对保险资金运用与监管的思考[J].保险研究,2008(8).
[111]许均华,李启亚.宏观政策对我国股市影响的实证研究[J].经济研究,2001(9).
[112]尚晓阳.保险资金进入股市的理论思考[J].经济师,2002(11).
[113]王绪谨.论后起工业国和地区保险投资的演进及其启迪[J].南京经济学院学报,1999,(3).
[114]江晓东.股票收益率波动的实证研究[J].东南学术,2002,(4).
[115]宋逢明,江婕.中国股票市场波动性特性的实证研究[J].金融研究,2003,(2).
[116]王岩,张英华.保险资金运营与基金组织结构的完善[J].保险研究,2002,(7).
[117]张峰,胡艳连.金融风险度量VaR方法及其应用[J].长春师范学院学报,2006(5).
[118]余海丰,张道明.美国上市财产保险公司的投资风险[J].保险研究,2006(08).
[119]张维.保险资金证券投资风险测度的实证分析[J].保险研究,2006(05).
[120]朱江.我国保险资金运用的问题与对策[J].经济研究,2008(10).
[121]胡伟益,王波.保险资金运用风险的分析模式探讨[J].保险研究,2006(11).
© 2004-2018 中国地质图书馆版权所有 京ICP备05064691号 京公网安备11010802017129号 地址：北京市海淀区学院路29号 邮编：100083 电话：办公室：(+86 10)66554848；文献借阅、咨询服务、科技查新：66554700 |