Insurance Funds Utilization of Performance Assessment Based on the Assessment Method of Risk Adjusted Earnings
|School||Southwestern University of Finance and Economics|
|Keywords||insurance fund performance evaluation yields risk|
In recent years,with the gradual opening of domestic insurance market,the insurance product innovation,insurance with its economies of scale effect with breakneck development.In asset scale unceasingly expands,the insurance funds utilization regulatory requirements is also more and more high at the same time, The《Interim measures for the administration of insurance funds utilization》is adopted by China insurance regulatory commission on February 1,2010, and request insurance group (holdings) company, insurance companies and insurance asset management departments shall establish insurance funds utilization evaluation system. However, our country insurance markets often use of insurance fund investment performance evaluation standard just a single to yield the measured performance standards at present. This kind of evaluation method is convenient, intuitive and though meaning clear and easy accepted by insurance institutional investors, but with the advantages of insurance fund investment criteria are not very scientific performance evaluation. Because the size of an investment period, there may be a return from successful funds utilization management, have may originate from, and may result from its luck of the risks. If you don’t consider risk and return, only consider final purely in a "yield" as the principle to evaluate the use of insurance capital performance is unfairly. Therefore, objective and scientific performance evaluation of insurance funds utilization for funds to the trustor, trustee and regulators have very important significance.At first, this paper collection, sorting, concludes the current domestic insurance commonly used fund use performance evaluation, analysis and comparison of their respective characteristics, find out their advantages and disadvantages, and in combination with the characteristics of the insurance market proposed performance evaluation of insurance funds utilization shall be in risk adjusted returns index evaluation method. Secondly, this paper portfolio returns and risk value calculation method of commonly used a detailed derivation. In the calculation, on the return of weighted profitability, time currency weighted profitability, total return and average yield were analyzed and studied. For a period, and puts forward the yield should be calculated weighted profitability calculated time point, eliminates outside asset combination of cash flow time of occurrence of the influence of performance, make with time of weighted profitability performance assessment is in complete inspection period measure the unit value of capital investment performance. For many period, and puts forward the calculating should return with geometrical average yield opinions of computation, can be used to accurately measure the actual income fund application performance. In risk measurement, mainly discusses the standard deviation and Var analysis on to measure.Again, this paper compared the current portfolio are frequently used in the absolute risk adjusted earnings and relative risk adjusted earnings of performance evaluation index, first put forward by the risk and return to unit of insurance funds utilization for performance evaluation, and according to the insurance asset management company’s actual investigation, established in the insurance funds utilization entrust account and establish, asset portfolio valuation, investment income calculation, investment risk assessment and risk adjustment calculation of performance evaluation indexes of the 5 steps insurance funds utilization performance evaluation process.Finally, this paper selects from December 31,2009 to December 31,2010 return this year top ten shots, according to this article even risks account proposed risk adjusted income index calculation this 10 shots by even risks account risk-adjusted returns, simulated and analyzed insurance funds utilization performance evaluation, inspection of the performance evaluation method is put forward in this paper, according to the results of analysis, and related Suggestions.Hope the research in this paper for the future, to further performance evaluation of insurance funds utilization research provides a certain significance.