| The return of insurance companies not only depends on the insurance business, also depends on the investment of insurance funds. The diversity of financial markets and the uncertainty of financial assets return, intensify the risk of investment in insurance funds. The construction of insurance fund investment portfolio is related to the return on investment, affecting the solvency of insurance company. It is a special kind of portfolio investment problem. The research of considering underwriting risk and the risk of investment portfolio problem at the same time is concerned gradually.The investment of insurance funds in our country is faced with the problems of low and unstable return, unreasonable structure, and imperfect channel and so on, which affect the construction of the insurance company solvency, and restrict the sustainable development of the insurance industry. The "13New Policy " has relaxed the investment channels of insurance funds and the proportion of investment restrictions to a certain extent in2012, as well as the policy of <The Notice(draft) on strengthening and improving supervision on the proportion of using the insurance funds>in October,2013,creating opportunities and challenges. Therefore, to improve the return on investment by constructing the investment portfolio of insurance funds will be a research focus in the theoretical and practical circles in the current special investment environment.In this paper, the combinatorial optimization problem of investment of insurance funds in China is studied through the theory and practice. The model of different constraints is established and optimal strategy of the corresponding portfolio is given, and on this basis, the advice on investment risk management of life insurance funds and property insurance funds for the life insurance companies and property insurance companies is gained respectively from underwriting gain, claim risk and investment appreciation ability. Finally, through the comparative study on the empirical research on the result difference of the policy change and investor preference, the effect of the investment proportion of investment decisions is analyzed; compared to the status about the use of funds in the developed countries, the countermeasures of raising the level of insurance funds investment are proposed from the aspects of regulation, insurance companies and insurance industry.The main work of the paper is as follows:(1)Based on the classic Cramer-Lundberg risk model, considering the influence of the proportion of investment and underwriting profit, the continuous time portfolio model is studied which contains the process of positive and negative risk,which contains the process of bilateral jump risk, and the analytical expression of effective investment strategies and efficient frontier is solved. According to the three models, from the three core variables angle of underwriting gain, the suggestions of investment risk management problems on life insurance funds are proposed for the investment portfolio problem of life insurance funds.(2) Considering the liquidity risk, credit risk, policy risk and the risk of operation of property insurance investment and the influence of the proportion of investment and underwriting profit, according to the investment portfolio problem of property insurance investment, the investment portfolio model of discrete risk under the linear return constraint condition and the investment portfolio model of discrete risk under the stochastic return constraint condition are proposed, and the analytical expression of effective investment strategies and efficient frontier is solved under the stochastic return constraint condition. According to the portfolio models, from the three core variables angle of underwriting, claims and investment, the suggestions of investment risk management problems on property insurance funds are proposed.(3) Based on the continuous time portfolio model, under the market condition and policy permission in our country, through the empirical analysis, researching the impact of policy and investor preference changes on investment decisions, and compared to the status about the use of funds in the developed countries, the countermeasures of raising the level of insurance funds risk management are proposed from the aspects of regulation, insurance companies and insurance industry, and some references are provided for investment portfolio optimization problem of insurance funds in China. |
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