金融自由化及金融创新发展条件下,保险公司已经愈发成为资本市场中举足轻重的

机构投资者,金融功能己成为保险公司愈发突出的功能。而激烈的保险竞争环境下,要

维持保险公司在市场环境中的竞争力,加强保险公司的投资管理,这已然成为各大保险

公司必然追求的方向。就目前而言,费差与利差组成的损益是我国保险公司的业务利润

来源。而由于保险产品的价格会受到费差的影响,继而直接影响保险的销售,因此欲借

助费差得到利润,必然存在很大程度上的限制。此外,受我国加入世贸组织时承诺兑现

的影响,中国的保险市场已有大量外资保险公司开始进入,在愈发激烈的竞争环境下,

费差会逐步收缩于零甚至达到负值。所以,保险投资才是保险公司利润的主要获取来源。

受长期以来我国在保险投资渠道方面的限制,就我国保险公司而言,其相当大部分资金

都是滞压在银行中的,而受中国人民银行调低利率措施的影响,保险公司在利差方面遭

受了大量的损失,对我国保险公司的投资效益产生了严重的影响。

为此,本文首先对保险基金投资的相关理论进行了概述,主要包括风险收益理论、

资产组合理论和现代投资理论。其次,分析了外国发达国家保险投资组合的状况,包括

美国、日本以及韩国,并结合这些国家的情况,分析了我国保险投资的现状和问题,并

对这些问题进行了原因上的追踪。然后,以X保险公司投资组合为案例,通过建立马克

维茨组合选择模型,进行综合学分析,并对多目标投资组合模型在保险投资中的运用进

行探讨。最后,结合上述理论分析和对实践的借鉴,找出完善X保险公司投资组合的策

略建议。主要包括,大力建设X保险公司的内控制度、实施资产混合管理策略、促进投

资风险的内部分散化,以及实施利率免疫技术对抗投资风险。

本文的研究对象是X保险公司投资组合策略,归纳了 X保险公司组合投资的各种

策略,并重点论述了 X保险公司的组合投资策略。同时在国内外许多学者研究的基础上,

做了一些有益的扩展研究和尝试,在一定方面进行了改进和创新。在保险资金投资研究

中,为构建组合投资提供系统的解决方案,提出了保险资金的选择标准和组合投资方法

的选择。同时也给出了保险资金组合投资绩效评价的指标和方法。

关键词:保险投资,投资组合,马克维茨组合选择模型,风险管理

Abstract

Financial liberalization and financial innovation and development conditions, insurance

companies have become increasingly important capital market institutional investors,

financial functions have become increasingly prominent insurance company functions.

Insurance and intense competitive environment, the insurance companies in the market to

maintain the competitiveness of the environment, strengthen the insurance company's

investment management, which has become a major insurance company is bound to pursue

directions. For now,the fee is poor, died poor and spreads consisting of the three bad loss of

China's insurance business is the source of profits. And because the price of insurance

products will be poor and died poor charge effects, which in turn directly affects the sales of

insurance, so I want to help poor and died poor fee to get profit,there must be largely limited.

In addition, subject to China's WTO commitments honored when the impact of China's

insurance market has a large number of foreign insurance companies began to enter the

increasingly competitive environment, the fee difference will gradually shrink to zero even up

negative. Therefore, the insurance investment is a major insurance company to obtain sources

of profit. China has long been subject to investment channels of insurance restrictions on

China's insurance companies, a substantial portion of its funds are stagnation pressure in the

bank, but by the People's Bank of China lowered interest rates measures, insurance companies

spread side suffered a lot of losses, the investment benefit of the insurance company had a

serious impact.

In this paper, first of all the relevant insurance fund investment theories are outlined,

including the risk-benefit theory, portfolio theory and modern investment theory. Secondly,

the analysis of the foreign countries the status of the insurance portfolio, including the United

States, Japan and South Korea, and combining these countries, analyzes the current situation

of China's insurance and investment issues,and these issues because the track. Then, X

insurance company investment portfolio as an example, through the establishment of

Markowitz portfolio selection model for comprehensive analysis, and multi-objective model

portfolio investment in the use of insurance were discussed. Finally, combining the above

theoretical analysis and practical reference, the insurance company to find perfect X portfolio

strategy recommendations. Including, vigorously construction X insurance company internal

control system, the implementation of asset mix management strategies, and promote internal

investment risk diversification, and the implementation of technical interest immunity against

investment risks.

Object of this paper is X insurance company portfolio strategy, summarized the

insurance company portfolio X various stiategies, and focuses on the indexation X insurance

company portfolio. While many scholars at home and abroad on the basis of research, do

some research and try to extend useful in certain aspects of the improvements and innovations.

In the insurance fund investment research, in order to build indexation portfolio provides

system solutions proposed insurance fund selection criteria and methods of indexation

portfolio choice. Insurance funds also given portfolio performance evaluation indicators and

methods.

Keywords: Insurance investment portfolio Markowitz portfolio selection model,risk

management