新型监管政策下我国保险资金的资产配置研究——基于大类资产监管和“偿二代”的政策背景

近年来我国保险资金运用监管开始实行“放开前端、管住后端”的政策理念，在前端实行的是资产大类监管政策，在后端实行的是“偿二代”政策。在此新的政策背景下，保险公司如何优化投资结构是一项非常重要的问题。考虑到我国保险业实际监管政策内容，以投资组合的风险最低资本的最小化为优化目标，以大类监管政策中的投资比例限制为约束条件，建立了一个新的投资组合模型，用来计算出各种最优投资组合比例。研究结果表明：在新监管政策下，协议存款、基础设施和不动产的理论配置比例较高, 债券类投资和权益类投资的理论配置比例较低。与理论投资比例相，债券类产品的实际投资比例偏高，而不动产类投资品的实际投资比例偏低，所以我国保险资金在今后的大类资产配置中，应当降低债券的投资比例，适当提高不动产的投资比例。

Research on Asset Allocation of Insurance Funds inChina under the New Regulation Policy——Based on Main Class Assets Supervision and C-ROSS Policy

In recent years,China s insurance fund use supervision has begun to implement the policy concept of“opening the front end and controlling the back end”.In the front end,it implements the main class asset supervision policy,and in the back end,it implements the C-ROSS policy.Under this new policy background,how to optimize the investment structure of insurance companies is a very important issue.Considering the actual regulatory policy content of China s insurance industry,taking the minimum risk capital of the portfolio as the optimization objective,and taking the investment proportion limit in the main class assets supervision as the constraint condition,a new portfolio model is established to calculate various optimal portfolio proportions.The results show that:under the new regulatory policy,the theoretical allocation proportion of agreement deposit,infrastructure and real estate is higher,while that of bond investment and equity investment is lower.Compared with the theoretical investment proportion,the actual investment proportion of bond products is on the high side,while the real investment proportion of real estate investment products is on the low side.Therefore,in the future allocation of main class assets,China s insurance funds should reduce the investment proportion of bonds and appropriately increase the investment proportion of real estate.