Research On Insurance Investment Performance Based On VaR

The paper introduces RAROC based on VaR which is estimated by GARCHmodel,through programming solving, compare the insurance investmentperformance at the following conditions: with or without short-sellingrestriction,with or without the limit of the percentage of specific investment tools.By comparing the programming results of with and without short-selling underthe conditions of no limit of the percentage of specific investment tools,we can getthat the investment peformance is nearly the same and the restrictions is guarantee ofthe market’s stability.When there is restrictions and short-selling is permitted,theinsurance funds managers are motivated to develop new investment channels andpromote financial tools innovation.The empirical study shows that the stockinvestment is the key to improve the enthusiasm of insurance investment and themaximum ratio is60%of last end of quarter’s total assets.At present,the investment management technology is immature in the domesticinsurance companys,financial market needs to be more complete, although the useratio of insurance funds is increased after the latest policys about the release of thelimits,but there is no obvious improvement of the investment performance.So policymakers and insurance companys should expand investment channels and promotefinancial innovations rather than call for the release of the proportion restrictions.For the new profit increasing points,the following should be good choices: real estatesecuritization and environmental friendly industry investment funds establishedjointly by the insurance companys.In addition, it is urgent to set up interactingsystem between stock market and insurance investment.There is also badly needs tocomplete financial market through strengthening the risk management of insurancecompanys,making the laws and regulations more perfect and eliminate informationasymmetry.