| Life insurance investment is a sort of economical activities, which life insurance funds are invested in the regulatory permissible means to gain income, in the period between payment insurance and insurance indemnity. Life insurance investment becomes more and more important, as the life insurance competition picks up, looked from the international life insurance industry development tendency. Life insurance company's profit mainly comes from investment, along with the depression of accepting insurance profit. However, compared with developed countries, the investing profit of life insurance funds is still under a lower level in our country. It has restricted the healthy development of the life insurance industry seriously. One of the most important reasons is the investment structure is illogical. Consequently, how to perfect the pattern of domestic life insurance investment and improve the investment revenue becomes a crucial topic of life insurers.This paper itself is divided into four parts. The Introduction not only sets forth the necessity for the research here but also reviews the related documents both at home and abroad. Chapter 2, firstly introduces the sources and the natures of life insurance funds. Then, the article compares asset allocation of domestic life insurance industry with that of foreign ones, and points out the problems in structure of investment. Further, it poses the need for optimizing the existing investment proportion. Chapter 3, the article emphasizes on the study of the optimal proportion of life insurance investment. Firstly, it introduces the conditional Value-at-Risk (CVaR) and Mean-CVaR model briefly and proposes the applicability of the Mean-CVaR model in the investment portfolio of the life insurance funds. In addition, based on minimizing the objective of CVaR with determined rate of return, optimal investment portfolio model of life insurance funds is established and discussed, which contains the risk-free asset. The article chooses the national debt, enterprise bond, securities fund, stock and deposit as the primary investing manners in the life insurance investing. According to the historical investment yield of these assets, the optimal investment proportion of Chinese life insurance companies at different expecting profit is calculated. It compares the theoretical portfolios of life insurance companies and those in reality, then obtains the general trends of optimization is reducing the proportion of deposit; increasing the proportion of securities fund and stock. In the end of the article, using the experience of others for reference and basing upon our country's present situation, the author put forward proposals in policy to perfect the investment in life insurance industry. All of these are beneficial to the innovation and development of investment in life insurance. |
PDF Full Text Request