An Empirical Analysis On The Optimal Portfolio Of InsuranceFunds Investment Under Background Of New Regulations

China’s insurance funds scale is expanding rapidly, On December31,2012, thetotal assets of insurance industry reached7.35trillion, grew by22.29%year on year.The application rate of insurance funds continuously improve, which reached91.23%till December31,2012. At the same time, Regulators loosen its regulation on the fieldof investment. China’s insurance regulation department consecutively released13itemsof policies and regulations, among which the regulations on insurance investmentreached more than ten items. The field of investment is no longer confined to bankdeposits and bonds and other fixed-income assets, but to combination model of bankdeposits, bonds, funds, stocks, overseas investment and other fixed-income assets andequity and global asset. At present, investment of insurance funds is facingunprecedented new opportunities and challenges.In the investment of insurance funds, Structuring investment portfolio relate toinvestment income which has become an important factor to affect the solvency ofinsurance company. Unreasonable investment portfolio will have a strong impact on thesolvency of the company. Although new policies and regulations have enriched portfolioof insurance funds and solved previous problem that investment channel is so narrowand limited, it test the ability of portfolio optimization. For a long time, investmentincome of insurance was low and unstable which affected solvency of insurancecompany and restricts sustainable development of insurance industry. Therefore, underour current special investment environment, to optimize insurance investment andimprove investment returns and increase corporate solvency has become a hot spot intheoretical and practical circles in our country insurance.The thesis studies the optimization of insurance investment from both theory andempirical aspects. After understanding the current situation of our country insuranceinvestment, reference insurance investment experience from part of developed countries.According to the characteristic of insurance investment to build an optimization model,and do empirical analysis using optimization model, put forward policyrecommendations. Mainly includes four parts:The first part is the theoretical analysis, this article review the history of insuranceinvestment, and have a preliminary understanding for current situation of investmentchannel, clear about the major problems of insurance investment at present: theinvestment structure is unreasonable, investment channels is so narrow, as well asinvestment income is low. Then from three aspects of investment structure, return on the investment and investment restrictions, the paper introduces investment experiences ofsome developed countries. Then summarizes characteristics, get such a revelation:broaden the investment channels, increase the proportion of overseas investment,appropriate regulation of insurance investment.The second part is to build portfolio optimization model of insurance funds. Aftercomparative with mean-variance model, capital asset pricing model and arbitragepricing model, believe that mean-variance model can better analysis insuranceinvestment optimization problem. Then according to the characteristic of that insuranceinvestment should consider underwriting risk and three principles and investmentrestrictions construct optimization model which accords with China’s nationalconditions of insurance investment, the portfolio optimization model is mean-variancemodel with risk preference coefficient.The third part is that do empirical analysis using mean-variance model with riskpreference coefficient. First, make a detailed introduction for choice of samples, data,and variables. Then using the latest data from2005to2011, with the help of SASsoftware calculate the optimal portfolio of insurance funds under different riskpreference coefficient, and analysis empirical results: make classification for empiricalresults under different risk preference coefficient, assume that risk preferencecoefficient is between0and0.5can be referred to as cautious investors, risk preferencecoefficient equals0.5can be called the neutral investors. risk preference coefficient isbetween0.5to1can be referred to as aggressive investor, and analyze the optimalinvestment proportion of different investment styles, the get the conclusion: the optimalportfolio of insurance funds is different under different risk preference coefficient range;With investment style from cautious to adventure, increase appetite for risk degree,bank deposits, government bonds, financial bonds investment ratio presents thedeclining trend, while corporate bonds, funds and foreign investment ratio showed atrend of rise, only stock investment ratio first decreases and then increases.The fourth part is the conclusions and policy recommendations. Throughtheoretical analysis and empirical analysis, this article comes up with the policyrecommendations from three perspectives: insurance company should build portfolioaccording to its own reasonable circumstance; regulatory policy should be implementeddifferently; government should create a good environment for insurance investment.