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1、上海财经大学硕士学位论文保险公司投资风险管理体系构建研究姓名：乔全中请学位级别：硕士专业：金融学指导教师：骆玉鼎20070508捅要摘要自从改革幵放以来，我国保险业的发展十分迅猛，年均增长率达到30%左 右.然而，与此形成鲜明对比的是保险公司投资收益率的低下*保费收入的高 增长与投资的低收益之间的矛盾己经成为制约我国保险公司投资业务发展，进 而影响我国保险业持续健康发展的重要因索之一 保险在社会经济中的基本功能是提供风险补偿，保险资金投资是保险公司 履行这种职能的保陣，也是保险企业实现自身发展的東要途径.而投资风险管 理作为决定保险公司投资成败的重要因素之一，在保险业发展中正占据越來越 重要的
2、地位.如何在认识保险公司投资风险1要性的基础上控制风险，明确保 险公司投资风险管理的目标与原则，建立以风险度量、风险预聱、风险报告、 风险控制等为主要内容的风险管理系统己成为亟待研究的课题.本文正是基f上述原因，在我国保险公司投资业务发展的背景下，研究如 何构建投资风险管理体系其主要内容包括：首先，指出了本文研究的问题，本研究领域的国内外现状及本文研究的意 义、方法和难点.然后，分析了我国保险公司投资风险管理的重要性。主要从三个方面入手: 第一，分析国内保险公司投资的渠道及面临的主要风险、a内保险资金投资及 风险现状；第二，从国际的视角来考察发达国家保险公司投资的状况和风险管 理体制，以及对我
3、们的借鉴意义：第三，分析我国保险公司投资风险管理的必 要性*其次，分析了保险公司投资风险的识别与度量。主要包括两部分内容：第 一部分是分析保险公司投资面临的风险，并依据一定的标准将风险进行分类； 第二部分是研究如何采用一定的方法和指标来度量各种风险，包括流动性风险、 利率风险、市场风险、信用风险、操作风险.再次，从风险管理的战术角度，分析了如何建立保险公司投资风险的防范 和控制体系包括三方面内容：第一，建立适用于保险公司的投资风险监测机 制*及时进行风险瞥示，提供风险分析报告：第二，建立有效的风险控制机制, 按风险管理的目标、战略和政策，对面临的风险采取回避、转移等不同的处理摘要办法，实现将投
4、资风险限制在可以接受的范围之内的目的：第三，建立科学的 投资业绩评估机制，抑制投资人员的冒险行为，并为资本配置提供依据。最后，从风险管理的战略角度，分析了如何构建保险公司投资风险管理系 统.包括：风险管理的组织系统、风险管理的技术系统、风险管理信息系统、 风险管理的文化和激励机制。本文分别从公司的宏观层面和资金运用的微观层面，采取定性分析和定量 分析相结合的方法分析了保险公司投资风险的识别与度童技术，并从制度层面、 风险监控、硬件支持等方面，分析了如何管理保险公司的投资风险，进而阐述 了如何构建一个合理的、科学的风险管理体系。本文的研究视角主要是从资产 方面来进行投资风险的控制，其实保险公司投
5、资的风险和保险产品的设计、保 险业务的结构、资本结构和财务政策等都是息息相关的，这些因素都将影响保 险公司投资面临的风险程度，决定保险公司投资风险管理的任务，也制约着保 险公司投资风险管理体系作用的发挥，但由于时间和精力有限，所以没有能更 多地考虑这些因素 关键词：保险投资风险管理市场风险信用风险操作风险AbstractAbstractAbstractSince the Reform and Opening，Chinese insurance industry has been growing very fast at an annual rate of 30%. On the contrar
6、y, the return of insurance funds investment is much lower. This contradiction has restricted the development of investment business in Chinese insurance companies，which is further an important restricting factor to the sustainable development of the Chinese insurance industry.In social economy, the
7、basic function of insurance is risk compensation. The investment of insurance funds is the guarantee to implement this function, meanwhile, is the important way to develop the insurance business. Investment risk management is more and more important in the insurance business development because its
8、the key point of a success investment. Thus，it is urgent topic to research that how to control the investment risk, how to make clear the target and principle of investment risk management, and how to establish the investment risk management system including risk measurement risk monitoring, risk re
9、port and risk control, etc.According to above-mentioned reasons，the thesis mainly studies how to set up the investment risk management system at the background of the development of insurance business in China. The main contents include:Firstly，the article pointed out the problem need to be resolved
10、, explained the situation domestic and abroad in the study field, discussed the meaning，method and crux of the study.Secondly, the paper analyzed the importance of investment risk management of Chinese insurance companies in three aspects: First，the way of Chinese insurance funds investment and main
11、 risk it faces, as well as the situation of investment and its risk. Second，from a global view explain the situation of insurance investments and risk management system of developed countries. And through the study on it，the experience we can learn and share. Third, the necessity of investment risk
12、management of Chinese insurance companies.Thirdly, the article analyzed the identification and measurement of investmentrisk of insurance companies. Include two parts: one was the classification of risk thatinsurance companies face. The other was the methods and indicators to measure various risk, i
13、nclude liquidity risk, interest rate risk, market risk，credit risk and operational risk.Fourthly，from the tactical purposes of risk management，analyzed how to build up the investment risk protection and control system. Include three aspects: First, establish suitable risk monitoring mechanism, provi
14、ding risk alert and risk analysis report in time. Second, build up valid risk control mechanism. According to the target strategy and policy of risk management, adopts different solution such as avoidance, transferring，etc.，so as to limit the investment risk in the acceptable scope. Third, set up re
15、asonable valuation mechanism of investment performance, represses the risky behavior of traders，and provide the basis for the capita! allocation.Finally, from the strategic purposes of risk management, analyzed how to set up the risk management system of insurance companies. Include: the organizatio
16、n system，the technical system，the information system，and the culture with inspiration mechanism.From the macroscopic level of the company and the microscopic level of the funds usage, this article analyzed the identifying and measure techniques of investment risk through both qualitative and quantitative methods. Also analyzed how to manage the investment risk of insurance companies and then to establish a reasonable a
