The Apply Of Surplus Optimization Model In Investment Assets Allocation Of Our Country's Life Insurance Companies

Traditionally, life insurance companies used Assets Liabilities Management methods such as duration and cash flow matching to allocate investment assets frequently. But because of lacking of long enough period assets in the market, life insurance companies often can not achieve very good Assets Liabilities Matching.Form our country's life insurance companies'status of investment assets allocation, this paper analyze reasons of the existing problems. Using monthly data form 2003.1 to 2006.12 in capital markets and corporate annual reports, semi-annual report data as data source and common domestic and international investment indexes: Inter-bank Offered Rate, 300 index, Shanghai funds index, Bond index, Corporate bond index, Standard & Poor's 500 Index, International stock index, Global Government bond index as targeted asset classes'benchmark, this paper applied surplus optimization model to get results.Empirical Analysis showed that the debt factors impact life insurance companys'investment assets allocation. On different return levels, the proportion of bond investments always maintains high proportion while stock and fund investment ratio has not exceeded the maximum regulatory limits, but with investment return increasing, the ratio of overseas investment gets regulatory ceiling. Based on model results analysis, this paper made some suggestion on how to improve our country's life insurance companies'investment asset allocation: to optimize the product structure and adjust liabilities changes; vigorously developing the capital markets, particularly the bond market; cautiously investing in stocks, funds and other equity type of investment assets; expanding the overseas investment ratio in appropriate time.