Research On Asset Allocation Strategy Of Insurance Companies In China

In recent years Chinese Insurance Regulatory Commission(hereinafter referred to as"CIRC")gradually promote market-oriented reform of insurance capital,expanding insurance company asset investment channels,and improve the proportion of insurance capital use,as a core pillar of insurance company,the investment of insurance capital is particularly important for insurance companies and as a starting point in the development of the investment side,asset allocation strategy will directly affect the subsequent investment income.At the same time,optimizing asset allocation strategy can stabilize investment income and control investment risk,and has great significance for the stable operation and healthy development of insurance companies.Based on the above purposes,this research constructs the optimal asset allocation strategy model of insurance companies based on the portfolio theory,in order to cope with the current domestic insurance capital use strategy problems.Create portfolio with bank deposit,bond,debt plan project,financial product,stock and securities investment fund,determined the comprehensive expected rate of return.through all kinds of assets in past ten years,and according to the fluctuation of annual historical returns,using economic forecasting analysis software to calculate the correlation coefficient matrix of these assets.Then,according to the CIRC Second generation of regulatory rules and supervision of insurance capital proportion,determine the types of asset risk factors and investment restrictions in proportion to each asset in the portfolio accounted for as a variable,the expected rate of return must overall portfolio risk minimum single objective programming are solved,and the model output effectively the results of the investment portfolio.Finally,based on the asset allocation data from the industry's leading insurance companies,compare the proportion of asset allocation and return rate between these companies and results from model as similar risk of portfolio,the optimal allocation strategy of model development direction configuration change trend and historical assets of the insurance company with the historical average risk level the comparison test of the proposed model for the actual value of asset allocation strategy of insurance company,and suggest insurance companies to increase the quality of non-capital products investment,moreover to reduce deposit investment,according to company requirements for risk and profit,use the optimal asset allocation proportion from model,in order to achieve the maximization of the utility for insurance capital.