Study On The Risk Management In Application Of Insurance Funds

Insurance investment is an important mainstay for the contemporary insurance company to survive and develop. Nowadays, insurance company's profit mainly comes from investment. Because the investment environment is not perfect in our country, especially the capital market is not mature, the insurance investment confronts various investment risk. On the other hand, the insurance investment enterprises'problems such as weakness of risk consciousness, outmoded management theory and management mode, lack of investment talent, etc, also restrict to the investment of insurance enterprises. More, Liabilities of the insurance capital decide the insurance enterprise should make a point of the management of the risk particularly in investing process.This paper relies mainly on theoretical research, and launches carrying on research to risk management of the insurance investment. This paper firstly discusses the problems which the insurance investment confronts in our country and the various risk in the investment. This paper mainly discusses the risk control and management in the insurance investment by three aspects (including ALM, investment portfolio management and ruin probability theory). Firstly, combining the company's feature, to discussing the ALM tools in the insurance company, including cash flow matching tool, durance gap matching tool, VaR and dynamic tool's apply to ALM.Secondly, investment portfolio management is on the basis of the classical Markowitz's mean-variance model, takes VaR and RAROC into the study of insurance investment portfolio, establish the best insurance investment model which is maximizing RAROC (Risk-Adjusted Return of Capital) on the limit of VaR. Then, undo the Effective Frontier of portfolio's curve and the best investment proportion. More, considering the proportion control on investment in risky asset, take the proportion control into the model to making it more reasonable.Finally, the ruin theory has its own advantage: Compare with other tools which built on the hypothesis of normal distributing, ruin theory is more reasonable and more precise. This paper does some study on ruin theory involving risk investment. Hopefully this paper can contribute on insurance risk control by offering a simpler method and a more mature theory.