Optimal Insurance Investment Strategy Based On Spectral Risk Measures

Insurance operation and investment operation are two important factors for insurance company.And investment operation is playing an increasingly important role in the development of the insurance company.we can find that it is not feasible to rely solely on insurance operation to seek for the development of the company.With the increasing competition in the insurance company and relevant policies promulgated by the insurance regulatory authorities,insurance company has developed rapidly.Major insurance companies are paying more attention to how to maximize the efficiency of insurance funds and how to choose methods to manage increasing risk.This paper extends existing literature on insurance funds investment,in particular,using spectral risk measures(SRM)as risk measurement.The paper includes the following sections: First of all,using SRM instead of VaR,CVaR and other risk measure methods,and establish an optimal investment research model of insurance funds based on mean-SRM,and provide model solution and empirical analysis.Then,using the RAROC instead of the mean value as a performance evaluation tool,and an optimal investment model of insurance funds based on SRM-RAROC considering underwriting benefit is established,and the model solution and empirical analysis are given.Taking China Life Insurance Company as an example,it makes an empirical analysis of the optimal insurance investment model under the underwriting profit,and compares it with the empirical results under the VaR and CVaR risk measurement methods.It not only verifies the feasibility of the model under certain conditions,but also obtains the following conclusions:(1)Relative to the VaR,CVaR,SRM investment strategy under the constraint of the proportion of investment in risky assets decreased,while the proportion of investment for risk-free assets increased.This shows that the impact of investment attitude on investment strategy can not be ignored.(2)Under different risk aversion factors,the investment strategy results obtained by the model are quite different.With the increase of the risk aversion factor,the degree of investor aversion to risk increases and the proportion of investment in risky assets decreases,which reflects the impact of investor risk aversion on investment strategy.(3)Under the SRM-RAROC model,which considers both returns and risks,when the value of the risk aversion factor is greater than a certain value,the portfolio strategy based on the models under different spectral risk measures generally stabilizes in the same Level,at this time the risk attitude has little effect on investment strategy,indicating the existence of marginal effects of risk aversion level.(4)Based on SRM-RAROC model,the optimal investment strategy of insurance funds is more significant than the one based on mean-spectrum risk measure model.The optimal investment proportion of risk-free assets obtained under different risk measures is more significant.This is because the former comprehensively considered risks and benefits while taking into account investors' risk aversion.Investment in insurance funds tended to invest more risk-free assets and investment was more conservative.