摘要
保险公司的经营模式和负债性质决定了保险投资的复杂性和绩效评价的特殊性。保险投资的绩效考核应以总体回报法为主,并参考市场因素,在资产负债管理的框架下对业绩表现进行全面衡量和评价。在保险投资绩效评价的具体考核中可考虑以下指标:1,单位在险价值(VaR)实现的投资收益,即风险调整后收益=当期投资收益/在险价值;2.使用到期收益率(YTM)来衡量长期投资资产的收益能力,同时通过久期(durafton)考察其潜在利率风险。
The business model and liability features of insurance companies give rise to the complexity of insurance investment and the uniqueness of its performance evaluation. The performance measurement and evaluation for insurance investment should be comprehensive, focusing on total return while also considering market factors, and within the Asset Liability Management framework. A couple of indicators are suggested for the evaluation process : 1, Investment return on unit VaR, i. e. , Risk-adjusted investment return =current investment retum/Value at Risk; 2. Using Yield to Meturity(YTM) to measure return of long-term investments and using duration to measure the potential interest rate risk.
出处
《保险研究》
CSSCI
北大核心
2005年第9期56-58,共3页
Insurance Studies
关键词
保险投资
绩效评价
内含价值
风险调整
Insurance investment
performance evaluation
Embedoled valae
Risk-adjusted