保险投资的风险管理理论与方法研究

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1、天津大学博士学位论文保险投资的风险管理理论与方法研究姓名：秦旭申请学位级别：博士专业：管理科学与工程指导教师：韩文秀20031001ABSTRACTAlongwithChina'SentrytoWTO，ontheonehand，insuranceindustryofChinahasgainedmanyopportunitiestotendtowardsinternationalization；011theotherhand，ithasbeenfacedwithchallenge．Sincethee

2、conomicreformationandopeningtoothercountriesofChina，theincomeofinsuranceisincreasingbyaspeedof35％annuallyinChina．Throughoutmorethantwentyyearsthesumofinsuranceinvestmentfundhasbeenextendingcontinuallyandtheassetsofinsurancecompanyhasexceeded330billion

3、RMBinthelastquarterof2002．Itisforecastedthatinthecomingfiveyears，insuranceindustryofchinawillstilldevelopbyaspeedof13％，anditsimpogantstatusandrolewillbeenstrengthenedremarkably．Withthehigh—speeddevelopmentofinsuranceindustry,theimportantroleofinsuranc

4、einvestmentfundhasbeenineveryone’Smind．Thus，howtowidenthefinancingchannel，howtomakethejointofcapitalmarketandinsurancefund，itisarealproblemforinsurance，securitiesandevenallthefinancialfield．Thispapermainlyfocusesonexploringriskmanagementandimplementat

5、ionstrategyforinsuranceinvestment．Themaincontentsofthedissertationareasfollowing：1．Introduction．Theoriginandthesignificanceoftheresearcharerepresented，theachievementsintherelativeresearehfieldsarereviewedandcommentedon．Furthermore，themainresearchaspec

6、tsandstructureofthisdissertationareillustrated．2．Asset-liabilitymanagementforinsuranceinvestment．First，thecharacterandrisksourceofinsuranceinvestmentfimdareanalyzed，andthencharacteristicofassetandliabilitymanagementaxeclearlydefinedrespectively,finall

7、yseveralasset-liabilit3rmanagementmethodsintheinternationallifeinsuranceindustryareintroduced，includedgaptheory,cashflowtheoryandimmunitytheory．3．Implementationofstochasticprogrammingmodelinasset-liabilitymanagement．Accordingtodynamicstochasticcharact

8、eristicofasset-liabilitymanagementinlifeinsuranceandinvestmentactualityinchina,thenewideaofstochasticprogrammingmodelimplementationOilasset-liabilitymanagementisbroughtfonll．andthenrelevantmathmodelsandsolutionareestablished．finallyrealexample