| Insurance investment is one of important functions of the modern insurance industry. Insurance investment can improve the operating efficiency of insurance enterprises, strengthen the solvency of insurance companies and business stability and enhance the competitiveness of insurance enterprises and the capacity of the healthy development for the industry. However,the insurance investment is a double-edged sword. Risks arising from investment business will also seriously affect the stability of the insurance business, faceing financial difficulties or even bankruptcy. Now, insurance investments have been one of principal risks for insurance companies' ruin.Between 1996 and 2001, 7 Japanese life insurance companies' consecutive ruin further confirms this point risk of investment insurance has become one of the main risk of bankruptcy. Therefore,the risks brought by investment behaviors can not be ignored when we analyze the ruin risk.Based on this,in this paper,when researching ruin probability—which is a indicator used to describe ruin risks of insurance company in traditional risk theory, the investment behavior of insurance companies is introduced in the model. researchs the problem with ruin risk's measure when the insurance companies takes the optimal investment strategy in the utility especially,with a view to use quantitative method to research and study the risk management of insurance companies.This full text is divided into four parts:The first part is the introduction part of the background and significance of the main topics of this article,views of related literatures, the reseach idea and main content, the major innovations and weeknesses.Through this part, we can understand initially:Insurance,investment and its risk management is of great importance to the development of insurance companies and the whole industry. In the review of literatures home and abroad, we summarize the depth and breadth of the relevant research. This study focuses on putting the insurance investment risk into the traditional risk model, and try to achieve the way to conpute ruin probability under the circumstances of the optimal investment insurance.The second part is the first chapter of the paper, main outlines of the general theory of insurance investments,including the conception of insurance investments,capital source, analysis of internal and external factors for insurance investment and the evolution process of China's insurance investment policy. Insurance investment generally divided into direct investment and indirect investment. Due to liquidity shortage of direct investment, Iit is small in the proportion in the allocation of insurance funds. Generally the form of indirect investment includes bonds, stocks, securities investment funds, real estate and so on. Insurance funds mainly from the capital, the liability reserves, insurance funds, savings and so on. Through Internal and External Analysis, we know that the development of the insurance investment business is not only demanded by companies to improve insurance company's solvency, competitiveness and earning power,but also Is required for development and growth of the capital market and socio-economic. On the analysis of evolution process of China's insurance investment policy, we can understand the development history of insurance investment in China from the side. Through this chapter, we have a more profound understanding of insurance investment theory and management policies in China.This paves the way to the research below.The third part is the second chapter of the paper—analysis on problems with the optimal investment of insurance companies .In this part,insurance companies are first assumed with exponential utility preference. Double-compound Poisson model isintroduced here.And this model is used to describe risks of underwriting affairs. In the risky markets, we assume that there are n kinds of risky financial instruments insurance companies can invest in and the price process of these financial instruments are described by the standard Brownian motion.Then,in the objective of utility maximization of the enterprise, the problem with optimal investment is formed.Finally in this paper, theories such as the financial investment portfolio, stochastic mathematics, operations research are used in this case to get the optimal investment strategy—the best allocation of that the insurance funds in the n kinds of risky financial assets.The four part is the third chapter of the paper,is the core part of this article—Study on Ruin Probability of the Insurance Company with the Optimal Portfolio Stratege. This chapter first puts the optimal investment strategy into the original model.After computing and simplifing,we get a new risk model of the insurance business—assets change model under the condition of the optimal investment .Then martingale approach is used at this time to obtain the ruin probability in insurance companies. Finally, according to the article in the derivation process and status of insurance investment in our country, proposals for insurance industry,developing the insurance investment business are given. First , put the investment risks into the insurance inspection system and track it. Only using the inspection system to track and control the investment risk in a timely manner can we understand the business risk profile truly.And it isconvenient for internal and external supervision.Second , to achieve the goal of the optimal investment strategy .On the one hand, China needs to further improve the capital market and related laws and regulations,in order to reducing constraints on investment of insurance funds . On the other hand, from the view of insurance company, Insurance enterprises should strengthen the investment research and risk management capabilities. To establish a scientific investment decision-making process, train a team of professional investment researchers, and to ensure the stability of the ranks,are the key to improve capacitiesof investment researhs and risk-controlling. |
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