Research On Multi-Objective Optimization Of Asset Allocation In Life Insurance Companies Under CROSS System

With the rapid development of China's insurance industry,maket competition has become more fierce.Management of insurance companies is facing with greater challenges.In 2016,the Second Generation of Supervision system(China Risk Oriented Supervision System,C-ROSS)has been formally implemented.C-ROSS established a framework of 3 pillars,which are quantitative requirement,qualitative requirement and maket restraint mechanism.Compared with the first generation system,C-ROSS put more weight on risk rather than premium scale,which means higher requirement of asset-liability management.Especially for life insurance companies,of which capital has larger scale,longer term and more stable requirement.Therefore,how to optimize capital allocation,control risk and improve profit at same time has become a research hot pot at present.This thesis uses multi-objective optimization method to study capital allocation problem in life insurance companies under C-ROSS system.Capital and liability are generated by scenario simulation,and then optimizes capital configuration to make management more efficient.The whole thesis can be seperated into six parts.The first part firstly introduces backgrounds and importance of this research.Based on literatures both domesticly and abroad,research progress and theoretical basis are expounded.Then,arrangement of this thesis,research methods and innovation/shortcoming are described next.The second part elaborates the theoratical basis of asset allocation.Firstly,asset allocation is defined and classified.Then,introduces the development of asset allocation theory and current existing methods.At last,the current situation of asset allocation in life insurance companies is expounded.The details of C-ROSS are introduced in part three.At first,the content and framework of C-ROSS are expounded in detail,and then the characteristics are described on base of them.More importantly,the influence of C-ROSS on asset allocation of life insurance companies are elaborated at last.The forth part is about model building based on multi-objective method.The form and solving methods are introduced at first.Then,generating method of assets and liabilities are given next.Finally,the objective functions and constraint conditions are constructed,so that complete the model.The fifth part introduces actual data of a real life insurance company to the model which were built in the previous parts.And then analyze the empirical result.The last part makes the summary of this thesis.And put forward suggestions on base of the previous analysis.