The Research On The Optimization Of Asset Allocation Of Life Insurance Company Under C-ROSS

In recent years,China's insurance industry has developed rapidly,industry competition has intensified,life insurance companies' business profit margins have been shrinking,underwriting profits have fallen,and it is very important to rationally allocate life insurance assets.The long-term nature of life insurance asset cycles and its considerable scale,Providing opportunities for asset allocation for life insurance companies.With the relaxation of investment channels for insurance funds under the C-ROSS,the investment in insurance funds has been increasing.At present,insurance companies can allocate funds to four types of financial assets: bank deposits,bonds,stocks and funds,and other investments.In the investment process,the life insurance company's asset side will face market risk,credit risk and liquidity risk.It is of great theoretical and practical significance to rationally allocate assets and improve the investment income of insurance assets while facing these risks.This paper will introduce the first pillar of the C-ROSS to introduce the minimum risk constraint of market risk into the Markowitz mean variance model,combined with the characteristics of life insurance assets,collect and organize the total of 13 years from 2005 to 2017,China's life insurance funds can invest A representative market indicator for the market,substituting data into models and finding the optimal portfolio.Through the establishment of the mean variance model with the minimum capital constraint of market risk,the change of investment behavior of life insurance companies under the C-ROSS is quantitatively estimated;and the investment portfolio with the C-ROSS background constraint is used as the reference group to study the risk-oriented The impact of the regulatory system and quantitative regulatory requirements on the life insurance company's investment behavior.Through the research,it is found that the introduction of the C-ROSS constraint data has undergone major changes,the most significant change is the proportion of the Shanghai-Shenzhen stock market and the Hong Kong stock market in the allocation portfolio,and the second-generation market risk minimum capital constraints under the life insurance asset allocation The investment income and investment risk,the Shanghai and Shenzhen stock markets and the Hong Kong stock market with similar risks have substitution effects in the allocation portfolio;it is also found that with the continuous improvement of risk appetite,the proportion of risk assets is increasing and the growth rate is faster,and risk-free assets And the proportion of low-risk assets in the asset allocation portfolio has been declining;in addition,combined with the empirical results,the corresponding optimization proposals for asset allocation and government supervision of life insurance companies under the C-ROSS are proposed.