Insurance Investment And The Optimal Regulatory Investment Ratio

For a long time,the China's insurance regulatory authorities enforce strict supervision to the insurance investment,and implement a clear upper and lower proportion provisions in the assets invested by insurance funds.Since 2010,the investment channels of insurance funds are opened,after that,the range of the investment ratio became larger than before gradually.Although the rule has greatly eased the pressure on insurance companies and improved optimal portfolio,it also increases the risk of insurance funds.So the asset-liability management capacity of the insurance company was asked to be stronger and stronger.The paper is based on theoretical analysis and comparative analysis to build the assets-liability management model of the participating insurance,and used the model to make a empirical analysis.In the end,we concludes that the regulatory ratio of the insurance investment remain has further space to relax.This paper is divided into four main sections: The first part mainly analyzes what assets the China's insurance funds can be allowed to invest,the risk characteristics of the investable assets and the investment regulations.In this part,it also compares with the United States,Britain,Japan and other developed countries in the same topics.We founds that the investment returns of the China's insurance funds is not high,and fluctuates large,and proposes the ideas to solve these problem.The second part is the theoretical basis for the paper.It focuses on the participating insurance,asset-liability management techniques and the asset allocation theory needed in this paper,they compose the theoretical basis of the paper.The third part is to build the assets-liability management model which is based on a simplified participating insurance accounts,and empirical analysis.The model consists of two sub-model and a master model structure,it is a dynamic optimization model.In the demonstration,the model was used to test the optimal asset allocation portfolio and the operating results in the situation of different investment regulatory constraint,such as constraint and non-constraint.The fourth section is the conclusion part.Study is the final results which obtained under ideal conditions,although there is a big gap between the practice and theories,the results can give practical guidance.Due to the special nature of the source of insurance funds,and products,the strict supervision is necessary.Therefore,we should be careful to gradually relax restrictions on insurance investment under the strict supervision,and promote it near the optimal investment ratio as close as possible.