Fixed Income Investments Of The Insurance Company Risk Management Studies

The risk management of fixed income investment is an important part of the whole risk management of insurance companies. This study is helpful to perfect the methods of risk control in the investment of insurance companies and it's helpful for the insurance companies to control the whole management risk. This paper explains the sources of the fund, the features, the constraints and the applied principles of the fixed income investment, the main way of the investment of our country's insurance fund and the problems. Firstly, it studied how to manage and control the risk of interest rate and the liquidity in the fixed income investment, analyzed the sensitive method of the measurement of the interest rate risk and provided the immunization strategy on the basis of the duration and convexity to the interest rate risk. It discussed several cash-flow-matching models and duration-convexity-matching models which can be used to control the risk of interest rate and liquidity. Then, the credit rating model for commercial banks and the model of the absorption Markov chain in forecasting and evaluating the credit rating of the enterprise bond are put forward. Meanwhile, it is also testified with examples, the research indicated that the two models have strong feasibility and practicability in theory and in practice. Finally, this paper studied the internal risk control of the fixed-income investment from the establishment of internal control mechanisms, which includes the establishment of internal control system and the management of investment decision-making process. This paper provided the insurance companies with management reference in fixed-income investment through some examples such as the establishment of the post, the terms of responsibilities, the investment decision-making process and the investment decision-making procedures.