The Applicati Of Portfolio Insuarnace In Risk Management

This thesis used portfolio insurance theory in risk management. Portfolio insurance theory was used in hypothetic Chinese insurance company.We chose three methods of Portfolio insurance: Constant Mix Strategy (CM), Constant Proportion Portfolio Insurance(CPPI), Time Invariant Portfolio Protection (TIPP) with different parameters empirical evidence on Hushen300 index, compare different methods performance under ideal and real condition.We can draw these conclusions through analysis:(1) These three methods can be effective to provide downside protection in our country ;(2) In upside stock market, the upper limit is more important than portfolio insurance theory;(3) The different parameters of value base line and multiplier used in CPPI and TIPP methods will bring different investment return. The value base line is more important than multiplier;(4) In upside stock market, CPPI method is more suitable for insurance institute;(5) In upside stock market, if net cash flow increase rapidly, CM method is more suitable or insurance institute, otherwise TIPP method is more suitable.This papers innovation focus on the below:(1) Apply portfolio insurance theory in insurance institute, Many portfolio insurance researches are in other fields, few researches are in insurance institutes.(2) Analyse the portfolio insurance theory on Hushen 300 index, compare two different scenes: have cash flow in and have no cash flow in, and give different suggest on different scenes.