The Asset Allocation Of Insurance Under New Regulations

On February 19,2014, The China Insurance Regulatory Commission (CIRC) issued new regulations on insurers’ investments. The use of insurance funds came into sight. For nearly 10 years, China insurance has grown fast. However, the performance of insurance funds investment wasn’t satisfactory. The rate of return of insurance investment was lower than the average level of financial industry. As one of the important participants of capital market, how to improve the investment income of the insurance funds in the effective control of risk is an urgent problem needed to be solved now.This paper introduced the current status of the use of insurance funds. The scope, channel and the return of insurance funds will be analyzed by data. By reading CIRC’s new policies on the regulation of insurance funds, the article discussed the trends in insurance asset allocation. At present, the investment management of insurance funds in China is becoming riper. Investment income is relatively stable, although absolute levels remain subdued. There is room for further improvement.Based on the mean-variance model in modern investment theory, taking underwriting risk and a neoteric risk indicator "CVaR" (condition value at risk) into consideration, we got a new portfolio selection model. According to the model, this article takes Chinese Life Insurance Company as the object of empirical analysis to solve the optimal asset allocation of insurance fund under the new regulatory policy. The result shows that insurance could invest more in equity asset and overseas assets.This paper is divided into five chapters. The first chapter is an introduction to present a background and literature review, introducing the theoretical stances, researches and observations in related fields. The second chapter describes the current status of the use of insurance funds in China, providing the reality basis for this argument. The third chapter is theory foundation. In this chapter, the mean-value model and the CVaR risk indicator is introduce to provide a theoretical basis for this article. The fourth chapter is an empirical analysis. Through the new portfolio selection model based on the mean-value and CVaR, we got the optimal asset allocation of insurance fund in the current situation. In the last chapter, we summarize the entire essay. The perspective future of research on insurance funds investment is prospected.