《保险研究》20221104-《累积前景理论下的保险公司最优资产配置和风险管理决策——以寿险公司为例》（陈翠霞、周明）

［摘   要］保险公司的资产配置和风险管理决策往往随着内外部经济环境和市场环境的变化而变化，因此，研究保险公司在不确定环境下的最优资产配置和风险管理决策会更贴近现实。为了更好地描述保险公司在不确定环境下的最优决策行为,本文在国内外研究的基础上，以寿险公司为例，首先利用实证方法论证了保险公司具有一种随自身经营状况变化而变化的的风险态度,即不再遵循传统的一致厌恶性风险态度；然后，通过引入累积前景理论(CPT理论)，进一步探究了保险公司在不同环境下的风险态度和行为决策是如何变化的，并构建了最优决策模型；最后，基于CPT理论,在最大化保险公司财富效用下,得到保险公司的最优资产配置和风险管理决策结果。结果显示：如果保险公司具有风险厌恶与风险喜好的变化型风险态度，基于EUT效用理论下的最优决策结果得到的效用值远远比不上采用CPT效用理论下的最优决策得到的效用值。

［关键词］累积前景理论；变化型风险偏好；资产配置；风险管理

［基金项目］本文由国家自然科学基金面上项目 “基于模糊厌恶的保险需求与投资消费行为决策”(11971506)、国家自然科学基金项目“模糊相依风险模型下保险公司最优投资与风险控制决策研究”(12001267)、教育部人文社科一般项目“审慎监管视角的保险负债市场一致性评估方法研究”(21YJC790016)、河北金融学院金融创新与风险管理研究中心资助。

［作者简介］陈翠霞，河北金融学院保险与财政学院、金融创新与风险管理研究中心副教授，研究方向：风险管理、长寿风险与养老金融；周明(通讯作者)，中国人民大学统计学院教授，研究方向：保险风险分析与决策、保险公司资产与负债管理。

Optimal Asset Allocation and Risk Management Decision of Insurance Companies under Cumulative Prospect Theory—Take life insurance companies as an example

CHEN Cui-xia,Zhou Ming

Abstract：Under the background of continuous fluctuation of economic environment,the investment decision and risk management decision of insurance companies also change with the changes of internal and external environment.Therefore,studying the optimal asset allocation and risk management decisions of insurance companies under uncertain environment will be more realistic.In order to better describe the optimal decision-making behavior of insurance companies in the uncertain environment,this paper takes life insurance companies as an example on the basis of research at home and abroad.Firstly,this paper explains empirically that insurance companies tend to change their risk attitude as their operation situation changes,that is they cease to follow their traditionally risk adverse attitude constantly.Then,based on the cumulative prospect theory (CPT theory),we further explore how the risk attitude and behavior decision of insurance companies change in different environments,and construct the optimal decision-making model.Finally,based on the CPT theory,and under the goal of maximizing the wealth utility of insurance companies,the optimal asset allocation and risk management decision-making results of insurance companies are obtained.The result indicates that:if the insurance company maintain the change of risk attitude between risk averse and risk seeking,the utility value of the option decision-making based on the traditional EUT utility theory is far inferior to that of the optimal decision-making based on the CPT utility theory.

Key words：Cumulative Prospect Theory;changing risk attitudes;asset allocation;risk management