基于均衡与风险传染的保险公司资产配置与风险管理决策研究

Recently, the insurance industry of China experiences a rapid development. However, due to their inefficiency in assets allocation, liquidity risk and systemic risk, insurance companies in the industry are under great stress. Combining the current background that the China Insurance Regulatory Commission (CIRC) is strengthening its supervision on insurance companies' assets allocation and risk regulation, this research project aims to analyze the impact of managers' time preferences, risk contagion and debt financing on the insurance companies' assets allocation and risk control. Based on the theoretical knowledge on actuarial science, behavior finance, corporation finance and the practical knowledge on insurance companies' operation feature, this research project firstly develops models on insurance companies' financing, investment and reinsurance decision-making by incorporating the factors of time-inconsistent preferences, risk contagion and debt financing. Then, explicit and numerical solutions to the optimization problems are derived using theories of stochastic control, equilibrium decision-making, differential equation, principle of dynamic programming and numerical methods. Finally, sensitivity analyse and economic interpretations are presented using Monte Carlo simulation and statistical approaches. The contents of this research project are closely related to the current real-life practice and are belong to the most popular issues in actuarial science, behavior finance research front domain. Thus, this research project has both theoretical and practical significance.

近年来我国保险业高速发展，然而大量保险公司资产配置效率不高，且面临巨大的流动性风险与系统性风险压力。本项目结合当前保监会加强资产配置与风险监管的实际背景，从保险公司的角度出发，分析管理者的主观偏好、市场风险传染和债务融资等因素对其资产配置与风险管理决策的影响。结合保险精算、行为金融、公司金融等理论知识及保险公司的经营特征，首先构建含时间不一致性偏好、风险传染和债务融资的保险公司投、融资与再保险决策模型。其次，运用随机控制理论、均衡理论、微分方程理论、动态规划方法和数值方法对模型进行求解，得到最优策略的解析解和数值解。最后，运用Monte Carlo模拟和计量统计方法对结果进行敏感性分析并予以经济解释。项目紧密联系实际，其研究内容也属于当前行为金融、保险精算领域的研究热点和前沿问题，研究结果既可完善已有理论研究，也可为保险公司和监管部门提供合理的意见与决策依据，因而具有重大的理论与现实意义。

本项目考虑保险公司最优投资、再保险、分红与再保险定价问题。我们用经典的Cramer-Lundberg风险模型和扩散风险模型描述保险公司流动资金变化，并假定保险公司管理者可将流动资金投资于金融市场，目标是最大化保险公司期末财富的效用、或最小化保险公司的破产概率、或最大化保险公司与竞争对手的相对财富水平在决策期末的效用。首先，我们考虑分红的比例与固定交易费用和管理者时间不一致性偏好等因素对保险公司分红决策的影响。其次，我们考虑市场竞争对保险公司投资与再保险决策的影响。第三，我们考虑再保险合约定价问题。本课题的主要创新和贡献包括：第一，在保险公司分红决策中考虑时间不一致性偏好的影响，拓展了已有的保险精算理论；第二，分析了市场竞争对保险公司投资与再保险决策的影响；第三，完善了再保险合约定价理论。