Optimal Portfolio Strategy Of Insurance Funds

Accept insurance and investment of insurance funds are two major business of insurance companies.With the development of social economy and the improvement of risk consciousness,the internal competition pressure of insurance industry is increasing,which leads to the decrease of underwriting profits.Invest business is a necessary complementarity to the loss of traditional business.On the other hand,invest business realizes the profitability of enterprises and guarantees the stable development of insurance companies.In recent years,there has been increasing proportions of investments for insurance funds,which have been regulated as an entire category.Investment restrictions for insurance funds are reduced,while numerous options become available.Thus it is extremely pivotal to have in place a reasonable investment strategy.Aimed on the optimal portfolio strategy of insurance funds,portfolio theory of insurance funds was studied while nonlinear programming was used to obtain the optimal solution.Firstly,combined with Markowitz classical portfolio theory,mean-variance model was constructed by the addition of underwriting factors to obtain the random simulation results of effective frontier.The optimal portfolio strategy was calculated through two times planning model.Secondly,considered that insurance payment claims for liquidity,risk-free assets and risk assets were divided into two parts.Adding risk sensitivity coefficient,an optimal model of investment portfolio was constructed under the guidelines of bilateral investment.The uncertain function of full payout probability under different insurance business was approached through stochastic simulation and neural network and the best proportion of insurance premiums into the capital pool and optimal investment allocation after adjustment were calculated through nonlinear programming theory.Finally,the differences of asset allocation ratio between different types of investment were compared.