Research On Optimal Allocation Strategy Of Insurance Asset Under China Risk Oriented Solvency System

The China Insurance Regulatory Commission formally issued 17 regulations governing China's risk-based solvency system on February 13th,2015.From the date of issuing the document,it will enter the transition period of the second generation of trial operation.On January 1,2016,the second generation of compensation officially entered the implementation stage.On September 20th,2017,China Insurance Regulatory Commission(CIRC)issued the "Compensation for the Second Generation Project of the Second Generation" and started the construction of the second generation of the compensation second generation project,which will implement more stringent capital standards.Thus,the CIRC is gradually improving the capital regulatory system,the second generation will also promote the solvency regulation from the scale-oriented model to the risk-oriented model of the upgrade.Compared with scale-oriented first-generation solvency system,risk-oriented compensation generation II provides more detailed capital requirements for various investment assets.Investment risk is no longer a negligible fuzzy concept,but a direct formation Occupancy of the company's actual capital.The use of insurance funds must include capital constraints in investment decisions.This paper mainly studies how to optimize the asset allocation strategy for insurers.This article first analyzes in detail the development of China's insurance market,Secondly,it focuses on the main content of China's second generation and its impact on the asset allocation of insurance companies,Then,based on the classical Markowtiz's mean-variance model,this paper constructs an optimal asset allocation model for the insurance company's second-generation compensation system.At the same time,it builds the optimal allocation model of insurance assets under compensation generation and the optimal asset allocation model with no regulatory upper bound,so as to make a comparative study and better analyze the impact of compensation generation on the optimal asset allocation strategy of insurance companies.The empirical model shows that under the second generation of compensation,as the calculation of the minimum capital is better linked with the allocation of assets,insurers can better incorporate solvency management and minimum capital management under given capital constraints Asset allocation considerations,and thus build an optimal combination of risk,return and capital occupation model and achieve the release of more minimum capital,so as to more effectively use the part of the capital released for rational allocation,to achieve higher investment Income,improve capital utilization efficiency.