Research On Multi-period Dynamic Assets Allocation Of Insurance Funds Based On RAROC

The insurance market competition becomes more and more drastic, so it is the necessary alternative for Insurance Corporation to strength insurance funds management. With the foundation of the insurance management company and professional investment of insurance money, the level of investment management rises remarkable. To make better use of more channels, it becomes important to improve the ability of investment research to get high return matching risk.According to the properties of insurance money and government polices about them, this paper build ARMA models of three time series of Hushen300 index, SSE corporate bond index and SSE government bond index. My paper uses GARCH models to modify the ARAM models to more accurately forecasting HS300 index. Then, combining the common index of VaR, we get the RAROC—risk adjusted return on capital. Thirdly, we build the optimization model of the sum of RAROC of sub-period, subjected to investment proportion and dynamic balance of money. Fourthly, we make a Matlab program, and find out an optimal path of the whole period. Finally, we come to the conclusion: the dynamic optimal path, although which may not make the market value maximum, can maximize the sum of RAROC of all sub-periods.The creations are the followings:Firstly, not limited to the performance evaluation, RAROC is also used to reflect efficiency of risk capital to guidance to assets allocation. The forecasting RAROC can show expected return per risk to some extent.Secondly, this paper researches an optimal path of multi-period dynamic assets allocation under constraint of policies. We, according to Operations Research principle and forecasting RAROC, traverse all limited feasible path during the whole period and find out a multi-period dynamic optimal path.