| In February 2015, the China insurance regulatory commission issued new solvency regulatory system,the C-ROSS, and carried out solvency 17 regulatory rules.C-ROSS is not only qualitatively but also quantitatively describe the risk, it launched for the insurance industry in China is nothing less than a revolution.This change will give great impact on the ’investment of insurance funds. insurance funds investment is an important source of corporate profits.Explore for payment under the C-ROSS of insurance funds portfolio has important theoretical and practical significance. I hope that through the study of our country’s insurance fund investment channels and portfolio,we can have a good understanding of the C-ROSS’s minimum capital which is the measurement response to the investment risk.In order to deepen the understanding of the insurance funds investment under the new rules and help insurance practitioners.We discuss how to choose between the portfolio risk and yield under the premise of investment model that consider the C-ROSS rules.Insurance as an important part of the financial industry in our country, not only plays an important role in stability and people’s livelihood, and it plays an important role in our country’s financial industry as an important source of funds.Insurance investment profit is an important source of the insurance profits. Therefore, the use of insurance funds is value-added for insurance company’s existence and development.Insurance investment can improve the profits of insurance companies, can make up the losses of the insured, can add the opportunity to hold down insurance premiums, attract more inflows and promote the insurance company normal operation and orderly.In the current international investment development environment, because of the development of China insurance investment and insurance industry in our country, we have to response to the financial environment of inevitable choice.Nearly thirty years of development, our insurance investment have taking shape, in both theory and practice aspects,and the gap with the developed countries are diminishing. However, still exists many problems to be solved.These questions are:investment ratio is not scientific, excess investment restrictions, the lack of investment professionals,and the low insurance company profits, etc.Efficient frontier reflects in every proportion of investment the relationship between income and portfolio risk, in this article, first chapter mainly summarize and study abroad theoretical research results through literature research;The second chapter introduces our country insurance investment related theory, including sources of finance, insurance, investment in recent years development course, main investment channels and emerging alternative investment;The third chapter introduce the relevant constraints of the first generation of insurance compensation system in China and the second generation compensation system about insurance investment;The fourth chapter analyzes the insurance investment research model, and select the empirical analysis by using effective frontier;Fifth chapter is on the basis of the effective frontier theory in the second quarter, modify the model and add the proportion of investment constraints to the model.After improving effective frontier model, using Matlab to solve function simplified calculation process, get bank deposits, government bonds, corporate bonds, stocks, funds, overseas investment efficient frontiers, and then add in the real estate investment and infrastructure investment.Then study the two investment’s portfolio risk and income.Chapter 5 of the third quarter concluded the assets of the minimum capital market risk, based on the effective frontier solving the proportion of each asset in the portfolio according to the C-ROSS. Finally by using SPSS software analysis the correlation of the result of portfolio risk and market risk minimum capital.Finally, the article put forward the strategy of insurance investment level in our country from two sides of insurance companies and the government.In this article, through the empirical analysis and theoretical analysis, we have the following conclusions:(1)The insurance company choose the appropriate investment strategy according to their needs and regulatory rules. The company with high risk bear ability can choose riskier investments such as corporate bonds, fund;(2)The estate investment and infrastructure investment belong to higher-yielding and more stable high-quality assets, insurance company can increase the proportion of such investments;(3)C-ROSS measure the risk of investment scientifically. The insurance companies in the portfolio selection demands fully consideration the C-ROSS can reduce the risk;(4) effective frontier can intuitively reflect the risk of portfolio return. It is an effective model of investment risk diversification; (5)The investment model can combined with the quantitative regulation. Insurance company under the new rules of the C-ROSS can make their own investment model based on the regulation, and this is operable. This will bring new ideas for the future investment of insurance. |
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