The Optimal Portfolio Research Of China Life Insurance Asset Under The Background Of "C-Ross"

Since February 2015,China Risk Oriented Solvency System(hereinafter referred to as "C-ROSS")put into trial operation and issued 17 regulations at the same time.It represented the insurance solvency regulation of our country has entered a new stage."The first generation of solvency" required insurance companies to havethe solvency adapted to their business scale,but the "C-ROSS" is based on risk as its main orientation,and it sets up three newsupervisory policy pillars in this system."C-ROSS"not only details the quantitative regulatory requirements,but also adds new qualitative regulatory requirementsand strengthens the mechanism of market restraint."C-ROSS”stipulates the new supervision requirements to the risk of asset allocation in life insurance companies.It undoubtedly would influence the investment structure of life insurance company,therefore it have tobe researched theoretically in detail.Thesis mainly includes several following aspects:The first is the overall situation of funds application of China insurance industry in recent years.Firstly,This paper systemizes the premium income,capital scale and investment structure of China's insurance industry from 2007 to 2016,and then generally studies the present situation of insurance funds application.As the research object of this paper is the life insurance funds,so the funds application situation over the years of life insurance company is researched at length.The second is the policy content of "C-ROSS" and its impact on investment decision.In this section,the paper expounds the main content of "C-ROSS",especially the relevant provisions of the minimum risk factors of investment assets,and then analyzes and sums up its important impact in insurance funds application theoretically.The main point is to invest real estate sector is significantly positive,meanwhile,the risk factors of most other assets are improved.The third is the establishment of the optimal portfolio model.This part elaborates the classic model of Markowitz firstly:Mean-Variance Model.Then,It modifies the risk constraint condition of the classic model through combining with the policy of insurance regulation in our country,including the regulation of "C-ROSS" and stated ratio of insurance funds application from CIRC.Finally,It establishes the optimal portfolio model applied to China's life insurance funds application.The fourth is the calculation results and its analysis.After establishing model and the parameter hypothesis,using the Lingo software to solve the linear programming equations,the main conclusion is that when life insurance companies invest 45.8%in fixed income assets,30%in equity assets class,21.6%in real estate assets and 2.6%in foreign assets can maximize the investment income.In addition,Compared with actual investment situation of life insurance companies as the formal operation of "C-ROSS",Life insurance companies should properly reduce the investment ratio of bank deposits,but increase the ratio of various bonds,stocks,securities investment fund and real estate.The fifth is the relevant policy suggestions.On the basis of the above theoretical research,this paper puts forward some policy suggestions.Its purposes are to remind life insurance companies of improving the ability of their asset allocation and risk management under the background of "C-ROSS" and maximize investment returns according with CIRC's standard.