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Theory And Method In The Study Of Risk Management For Insurance Investment

Posted on:2005-05-04Degree:DoctorType:Dissertation
Country:ChinaCandidate:X QinFull Text:PDF
GTID:1116360122982237Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
Along with China's entry to WTO, on the one hand, insurance industry of China has gained many opportunities to tend towards internationalization; on the other hand, it has been faced with challenge. Since the economic reformation and opening to other countries of China, the income of insurance is increasing by a speed of 35% annually in China. Throughout more than twenty years the sum of insurance investment fund has been extending continually and the assets of insurance company has exceeded 330 billion RMB in the last quarter of 2002. It is forecasted that in the coming five years, insurance industry of china will still develop by a speed of 13%, and its important status and role will been strengthened remarkably. With the high-speed development of insurance industry, the important role of insurance investment fund has been in everyone's mind. Thus, how to widen the financing channel, how to make the joint of capital market and insurance fund, it is a real problem for insurance, securities and even all the financial field.This paper mainly focuses on exploring risk management and implementation strategy for insurance investment. The main contents of the dissertation are as following:1. Introduction. The origin and the significance of the research are represented, the achievements in the relative research fields are reviewed and commented on. Furthermore, the main research aspects and structure of this dissertation are illustrated.2. Asset-liability management for insurance investment. First, the character and risk source of insurance investment fund are analyzed, and then characteristic of asset and liability management are clearly defined respectively, finally several asset-liability management methods in the international life insurance industry are introduced, included gap theory, cash flow theory and immunity theory.3. Implementation of stochastic programming model in asset-liability management. According to dynamic stochastic characteristic of asset-liability management in life insurance and investment actuality in china, the new idea of stochastic programming model implementation on asset-liability management is brought forth, and then relevant math models and solution are established, finally real example study is given. 4. Hedge management for insurance investment. In the start of summarizing the fundamental principle and classification on hedge, Moreover, according the relation of hedge and speculating, a mean value-at-risk framework based on Black-Scholes option hedge for speculating and hedging with options is put forward innovatively by the means of VaR loss controlling , namely optimizing hedge and speculating strategy on the control of VaR.5. Insurance investment portfolio management. Traditional and modern portfolio theory, and based on the relevant theory studies, innovatively brought forward the optimal portfolio model under VaR and asset allocation strategies of insurance investment fund.6. Summarizing and prospect. On the base of summarizing the option of the dissertation there is a prospect for in-depth research in the future.
Keywords/Search Tags:insurance investment, risk management, asset-liability management, stochastic programming, hedge, portfolio, asset allocation
PDF Full Text Request
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