Research On The Optimization Of Insurance Asset Allocation In China Under The Second-generation Solvency Supervision System

China's second-generation solvency supervision system officially began testing in February 2015,and 17 regulatory rules documents were issued accordingly.China's insurance industry's solvency supervision entered a transitional stage before the transition and was formally implemented in January 2016.Through the risk-oriented model,China's second-generation solvency supervision system has established three pillars:quantitative capital requirements,qualitative capital requirements,and market constraints,with the aim of improving the solvency supervision of Chinese insurance companies.The risk of insurance assets is no longer a vague concept,but directly affects the actual capital of insurance assets according to the rules of the second-generation solvency supervision system.By measuring the actual capital,the minimum capital under various risks,and the comprehensive assessment of risks,the various risks correspond to various assets,and the insurance assets are effectively controlled at a certain level of risk.This paper focuses on the optimization of China's insurance asset allocation under the second-generation solvency supervision system.This article first refers to previous research ideas and academic achievements to determine research ideas and empirical models.Secondly,it focuses on the status quo,problems,and causes of China's insurance asset allocation.Then,based on the Markowitz model,according to the supervision rules of the second-generation solvency supervision system and the regulations of the China Insurance Regulatory Commission,constraints were formulated.This paper establishes an optimal asset allocation model that meets the second-generation solvency requirements.Through searching parameters and related processing data,the best insurance asset allocation was obtained with the help of MATLAB.Based on the results of the Markowitz model,the VaR model is used to compare and analyze the risks of optimal insurance asset allocation and current insurance asset allocation.Research shows that,on the one hand,compared with the current allocation of insurance assets,the allocation ratio of bank deposits in the optimal allocation of insurance assets has decreased,while the allocation ratio of bonds,stocks,and securities investment funds has increased.On the other hand,compared with the current insurance asset allocation,the risk contribution ratio of stocks and securities investment funds in the optimal insurance asset allocation is higher,and bonds can diversify the risk of the investment portfolio to a certain extent.Finally,on the basis of previous studies and empirical analysis,corresponding countermeasures and suggestions are proposed from four aspects:optimizing the allocation of insurance assets,improving the level of insurance asset risk management,improving the construction the second-generation supervision solvency system,and optimizing the investment environment.