《保险研究》20230901-《保险资产负债环境变化与资产配置策略》（段国圣、马得原）

［摘   要］保险资产配置是一个多目标优化过程，需要在资产负债管理的总体框架下，考虑负债成本要求、财务稳健性要求、偿付能力要求、资本市场约束和资金运用监管约束等。近年来，我国保险资金运用面临的外部约束——负债环境、监管环境和投资环境均出现一系列深刻变化，对保险资产配置也提出更高要求：一是成本收益匹配难度明显上升，二是资负久期匹配重要性显著提升，三是负债业务转型对投资管理提出更加多元化要求，四是投资管理精细化要求程度提升。基于这些变化，本文建议：切实优化资产负债管理，多措并举，探索符合自身实际、应对相对低利率环境的道路；做好新形势下权益资产的配置与管理，提升长期收益水平，从根本上规避利差损风险。

［关键词］保险资金；资产负债管理；资产配置

［作者简介］段国圣，泰康保险集团执行副总裁、首席投资官，武汉大学兼职教授，研究方向：资产管理、保险投资；马得原，泰康资产管理有限责任公司一般账户投资部研究员。

Asset Liability Environment Changes and Asset Allocation Strategy for Insurance Funds

DUAN Guo-sheng,MA De-yuan

Abstract：Asset allocation for insurance funds is a multi-objective optimization process,which needs to consider liability cost requirements,financial robustness requirements,solvency requirements,capital market constraints and other regulatory constraints under the overall framework of asset-liability management(ALM).In recent years,there have been a series of profound changes in the liability environment,regulatory environment and investment environment of insurance funds,which puts forward higher requirements for insurance funds investment management.First,the difficulty of cost-yield matching has increased significantly; second,the importance of duration matching has significantly increased; third,the transformation of life insurance business has put forward more diversified requirements for investment management; and fourth,the requirement for refinement of investment management has been lifted.As a response to these changes,this paper puts forward some suggestions that insurance institutions should improve the effectiveness of ALM and explore ways that suit its own actual conditions to cope with a relatively low interest rate environment.It is also critical to better manage the equity portfolio under the new situation,which can improve the level of long-term returns and thus avoid the risk of spread loss fundamentally.

Key words：insurance fund; asset liability management; asset allocation