Insurance Investment Strategy Based On Mean-Variance-CVaR Model

In recent years,along with our country's economic strength increasing,the insurance industry has developed rapidly,and people pay more attention to the insurance and the signs of sensitivity to the insurance are growing.According to the statistics of China Insurance Regulatory Commission,from the end of 2010 to the end of 2016,the premium income increased 16.78% annually from 1.3 trillion yuan to 1.3 trillion yuan.especially from 2015 to 2016,the growth rate received 27.57%.But at the same time,we must also realize that the possibility of risk eventually happening is rising.In recent years,our country pay more and more attention to the development of the insurance industry and constantly moved a series of policies.In terms of capital operation,at the beginning insurance funds were as securities funds into the market,and then they are invested directly.Obviously investment is more flexible,and insurance investment channels are more diversified.In this situation,it is important for the insurance company to find the scientific risk management approach to manage investment risk,and then they can choose the reasonable and effective investment strategy so as to obtain the biggest benefit.Based on above background,this paper established the mean-variance-CVaR model,and used variance and CVaR two risk measures to control risk.And then finding the optimal solution by solving the model and the optimal strategy of insurance investment.In the process of modeling and solving,comparing the multiple perspectives,we can get the following conclusions:(1)There is a defect based on the mean-variance model and the mean-CVaR model to study the insurance investment strategy that in the mean-variance model the CVaR of portfolio is bigger and in mean-CVaR model the variance of portfolio is relatively larger.So the effect of risk control is not good.Meanwhile the mean-variance-CVaR model is effectively making up for the defect and get the optimal investment strategy of insurance;(2)Comparing the policy constraint to no policy constraint under the mean-variance-CVaR model: when there is no policy constraint,along with the increasing of the income and the reducing of extent of risk control,the proportion of risk assets investment will obviously increase.And its minimum variance is bigger than the minimum variance under the policy constraint.The result suggest that when there is no policy constraint,in order to seek high returns the insurance company may take greater risks to some extent.In this situation once there were an awful accident,the change can be very disruptive to the insurance company.Therefore,the policy constraint is necessary.On the one hand the insurance company can guarantee to have the ability to deal with the event;On the other hand it can normative insurance market and make the insurance market become the important impetus to the development of national economy;(3)Comparing to two different optimization methods in mean-variance-CVaR under policy constraint: the first kind of optimization method is to limit CVaR and benefit,and thanking four kinds of circumstances to find the optimal strategy of insurance investment;The second kind of optimization method is to assign weight to a variance and expected and to limit CVaR likely,so as to find the optimal combination of insurance investment.The first method show that the return dominate the risk investor's investment choice;The second method can reflect the degree of investor risk appetite.Overall,when the insurance companychoose to invest,they should decrease the risk-free asset investment proportion,and in order to achieve higher returns,they should choose risk investments under the premise that controlling the risk effectively.