China's Enterprise Annuity Investment Management Strategy Study

In order to cope with the tendency of aging population and reduce a state burden of primary endowment insurance, from 1991 on, our country comes up to construct a multiple level endowment insurance system, which is to show the country establishes primary endowment insurance, enterprise annuity and sex of worker individual deposit endowment insurance 3 administrative levels. According to the forecasts of relevant experts, the market scale of enterprise annuity in our country will reach a trillion yuan. The inflation-proofing and appreciation of such huge funds requires that the enterprise annuity integrate with the capital market and the fund and investment vehicles should be arranged efficiently to alleviate the impact of adverse factor like inflation. Therefore, the study on the arrangement of enterprise annuity funds in the capital market to to achieve the efficient portfolio management is both of theoretical significance and a stringent problem in practice.The basic roadmap of our paper is to start with the present investment situation of the enterprise annuity in our country firstly, then analyze the characteristics of each stage and some questions involved in the development of the enterprise annuity in our country and emphasize the necessity to strengthen the investment management of the enterprise annuity in the realistic view. In the subsequent section of the paper, with the investment management of the enterprise annuity at its heart, we discussed several issues such as portfolio allocation, inflation-proofing and appreciation and efficiency of investment.The outline of our paper isChapter 1 expounds the background and meaning of our study, introduces the status and development of research on enterprise annuity at home and abroad and presents the framework and contribution of this paper;Chapter 2 presents the present investment situation of the enterprise annuity investment in China, inspects the portfolio selection procedure, the existing investment vehicles and the arrangement of these investment vehicles for the investment of the enterprise annuity investment in China. On that basis, then we propose some portfolio strategies, demonstrate the necessity to strengthen the investment management of the enterprise annuity in theory, combined with practice that the substitution rate and investment efficiency of the enterprise annuity in China are on the low side, which indicates further the urgency of the investment management of the enterprise annuity.Chapter 3 builds and analyzes the model for the most important asset portfolio in the investment of the enterprise annuity, tries to find a relative intuitionistic approach which allows the enterprise annuity to implement the asset allocation as required and achieve the prospective return.Chapter 4 researches the Guaranteed Option strategies of enterprise annuity. This section points out that the Guaranteed Option strategies is essentially a put option, and thus uses Black-Scholes formula to derive the price equation of guaranteed annuity option, analyzes the factors which have effect to the option prices in order to relieve the safety problem in the process of the enterprise annuity investment.Chapter 5 is the conclusion, which gives some advice to the development of the enterprise annuity in China.