| Life insurance funds are generally longer term and therefore have better investment properties.The asset allocation of life insurance company directly affects the investment earnings and further affects the solvency of the company.The optimal investment proportion of life insurance funds is crucial to the operation and development of the company.Most of the existing research for the entire insurance industry,so this article will separate life insurance industry from the whole of insurance industry,in order to combine the characteristics of life insurance funds,pointed to its portfolio optimization.Based on the theory of insurance portfolio,the theory of asset liability management and the theory of risk to build the theoretical basis of the research.And that life insurance funds portfolio optimization is in accordance with the principle and characteristics of life insurance investment,to control and process the risk factors through scientific and standardized method to achieve maximum economic benefits with minimal economic cost.The target is to minimize the risk of portfolio to achieve the established income or established the profit maximization of risk.In this paper has analyzed practice of life insurance in combed the 1995-2018 in China's life insurance investment policy.In conclusion,the scale and the ways of life insurance investment expands unceasingly.However,there are also problems such as the mismatch between the asset and liabilities,the volatility of the investment return,the imperfect investment environment and the shortage of investment talents.In order to explore the optimal portfolio insurance in our country,this article is based on the mean-variance model to build life insurance portfolio optimization model with the risk as measured by the VaR to replace variance with RAROC maximization as the goal.Sorting statistics 24 life insurance company annual report,instead of the life insurance funds as the research object.This paper selected bank deposits,bonds,stocks,funds,assets and other financial assets as the investment channels.We obtained the optimal investment ratio with 2014 regulation constraints assets ratio by Matlab.According to the statistics of the annual report of life insurance company and the data of circ,the actual investment portfolio ratio of the life insurance industry was obtained.Comparing the optimal investment proportion with the actual investment proportion,it is believed that the investment of life insurance funds should be dominated by fixed income assets and the equity assets should be supplemented.Adjust the structure of the fixed income assets,gradually increase the risk of low and moderate yield of long-term credit product allocation,further enhance infrastructure and low risk ratio corporate bonds.Must be prudent when investment in equity funds.Improve the proportion of investment in infrastructure projects and other financial assets to serve the real economy.The fifth chapter combines the foreword analysis,obtains the corresponding conclusion and gives the policy suggestion.There are two innovations in this paper.First,build RAROC maximization as the goal of the optimal portfolio model based on the life insurance industry in our country as the research object to get the optimal mix proportion.Comparing the optimal proportion and the actual proportion,which has the industry guidance more meaningful conclusions and countermeasures.Second,this paper can get the latest data of 2014-2016 three years.The risk capital investment policies and regulations change quickly,in special investment channels and scale.So the result of model is strong timeliness. |
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