Research On The Optimal Investment Structure Of Chinese Property Insurance Companies Under C-ROSS

After 2015 years of a transitional stage,the insurance regulatory commission announced that all insurance companies began in 2016 according to a new generation of solvency regulation system(hereinafter referred to as C-ROSS)required by and published solvency report,mark officially implemented.The C-ROSS is a new regulatory system,with three pillars similar to the Basel accord: qualitative capital requirements,quantitative capital requirements and market constraints.Based on this background,the author hope that through study of the C-ROSS framework 17 regulatory requirements,and try to claim the C-ROSS property insurance company of insurance funds investment structure,the combination of research under the background of C-ROSS compensation with whether there is an optimal investment structure.Based on the above purpose,the paper on the basis of theoretical analysis in early 2016 to 2016 at the end of the selected bank deposits,government bonds,corporate bonds,stocks,funds,the yield of overseas assets,real estate,in order to ping an property insurance company as an example,combining the operation data of peace,to carry on the empirical analysis in the paper are as follows:(1)the calculation of the C-ROSS under the background of ping an property insurance company of the lowest risk capital,combined with the solvency requirements the real capital of ping an insurance(2)using CopulaGarch model and average-CVa R model,in the actual capital of the investment structure of the calculation when the highest return on investment,and to quantify the risk.First chapter through to the literature,the research of the C-ROSS and insurance company management and investment of insurance funds structure of related literature,the second chapter elaborates the features of insurance funds and investment requirements of property,the third chapter analysis of the second generation framework as well as C-ROSS under the background of insurance fund investment requirements,the fourth chapter combines the C-ROSS system framework for insurance company capital constraints,in peace as a example for the empirical analysis,finally get a conform to pareto improvement of the investment structure.The fifth chapter provides the advice of the property insurance company to optimize the investment according to the empirical results.According to build portfolios within the risk limit optimization,finally it is concluded that the investment structure is: 20% of deposit investment,20.4% of bond investment,6.6% of corporate investment,2% of stock investment,8.2% of fund investment,30% of real estate investment,12.2% of overseas investment.