The Research Of Optimal Allocation About The Life Insurance Funds Basde On The C-ROSS

Chinese insurance industry has developed rapidly from 2004 to 2017.The number of national insurance groups has increased from 5 to 12,and insurance institutions range from 68 to 222.Insurance asset management companies also has reached 21.At the beginning of 2016,China officially requested the implementation of the C-ROSS,clearly proposing the three pillars of quantitative,qualitative and market-binding mechanisms.Since 2004,the market has continued to diversify,and the operation of insurance funds allowed by regulation has continued to be widened.The policy opportunity dividend is an important reason for the rapid development of Chinese insurance industry.However,based on the current investment channels of Chinese insurance assets,how will the implementation of the second generation affect the allocation of insurance funds?How does the insurance companies develop under the constraints of the C-ROSS?And how can life insurance companies choose to maximize the return on investment assets?This paper mainly studies the application of life insurance funds with the C-ROSS,and gives relevant constructive suggestions.We select bank deposits,national debt,corporate bonds,stocks,funds and real estate for quantitative simulation.Data processing assumes that national debt,corporate bonds are five-year bonds with AAA rating,calculating the corresponding C-ROSS risk factors and obtaining interest rate risk,equity risk,real estate price risk,spread risk and counterparty default risk minimum capital occupation.We use crystal ball software to simulate data distributions,and estimate joint distribution function,and derive risk value expression.The study finds that fixed-income assets are important investment for maintaining the healthy operation of life insurance companies.The proportion of equity and other types will increase moderately with the increase in risk appetite of life insurance companies.Under the C-ROSS constraint,life insurance companies can measure certain percentage of fixed-income assets at fair value to reduce the minimum capital and meet the solvency requirements in order to improve the solvency adequacy ratio;Compared with the first-generation,the C-ROSS is more sensitive,restrictive and asset-oriented.Life insurance companies promote high-risk preferences companies carefully considering the matching degree of assets and liabilities.In view of the above conclusions,the following policy recommendations are given:(1)In terms of insurance market promotion,market supervision needs to improve asset and liability management,and actively promote the development of long-term investment vehicle innovation,and strengthen market risk management supervision,and guide the positive direction of insurance market development.(2)For life insurance companies,it is necessary to establish a scientific and reasonable risk management system in combination with the C-ROSS regulatory rules,and actively innovate and develop investment tools,and establish an effective asset-liability management system,and introduce investment professionals and life insurance actuarial talent.The innovations of this paper may be:(1)Use the C-ROSS risk factors to explore the operation of insurance funds;(2)Use Crystal Ball software to fit the asset yield series,obtain the total return rate function,and then solve the risk value objective function;(3)The model structure is formulated through the pressure scenario,the modified duration,the asset rating and the minimum capital occupancy cap hypothesis;(4)Introduce the liability-side variables to participate in the optimal allocation discussion,and explain the impact on the minimum capital in combination with the fair value and amortized cost of accounting measurement;(5)We give the insurance market development’s policy recommendations with the empirical results and the actual allocation of insurance companies funds.On the other hand,this paper treats actual capital level and debt side interest rate risk as exogenous variables,and only considers market and credit risk in the measurement process of minimum capital occupation.Owing to the limitations of asset selection,the configuration results are not enough.