Research On The Optimization Of China Life's Investment Portfolio Allocation Under The Background Of The Second Generation Of Compensation

Beginning in 2012,in order to meet the requirements of risk segmentation in the new era,the China Insurance Regulatory Commission(CIRC)has launched a new China-based risk-oriented solvency system(C-ROSS).A total of 17 regulatory rules and a trial operation plan during the transition period were released in February 2015.Beginning in the first quarter of 2016,the C-ROSS will be officially implemented.At the same time,on December 13,2016,the China Insurance Regulatory Commission proposed that the "insurance industry name insurance,the China Insurance Regulatory Commission name insurance" resolution should be fully implemented,requiring that investment income must be obtained under the premise of fully guaranteeing the safety of investment funds.This paper will take into account the C-ROSS of regulatory requirements for investment assets,and select the improved Black-Litterman model of Markowitz's portfolio configuration model,adding the subjective views of investors in the market,trying to make China Life's asset allocation more scientific and reasonable on the premise of meeting the C-ROSS regulatory requirements.Under the current downward trend of macro interest rates,naturualy it has put forward higher requirements for the optimization of China Life's asset allocation.This paper first summarizes the rules for the C-ROSS and analyzes its impact on China Life's investment allocation.The article believes that the implementation of the C-ROSS will release the liquidity of China Life Investment Fund and correspondingly relax the investment restrictions on China Life Risk Assets.Then this paper analyzes the development,the allocation of investment portfolio and the rate of return of China Life in recent years,and compares it with the industry average.It summarizes the characteristics of China Life's portfolio allocation before and after the C-ROSS.Since the optimization model needs to predict the return rate of all kinds of assets of China Life Investment fund,this paper chooses the time series GARCH family model to predict the rate of return volatility of each asset in the portfolio.Under the premiseof taking into account the regulatory requirements of the second generation of investment assets,the Markowitz portfolio configuration model and the Black-Litterman model,which has been improved by the subjective views of investors in the market,are selected.The optimized results are compared and analyzed,and the better BL model is selected to make China Life's asset allocation more scientific and reasonable on the premise of meeting the second-generation regulatory requirements.The article believes that the optimization effect of the BL model is more excellent.It is of practical guiding significance for China Life to adjust the allocation of investment assets in the next period according to the output of the BL model.