Research On Asset Allocation Optimization Of Life Insurance Companies Under The "C-Ross" Standard

After the effective practice of the “Solvency for the first generation” supervision policy,combined with the market development trends in the new period and the previous supervision experience,China formulated the C-Ross supervision policy system in 2016.Since the implementation of this regulatory standard for more than three years,the overall risk management capability of the insurance industry has improved significantly,and insurance companies have gradually adjusted their investment portfolio strategies as required.However,under the new regulatory system,how to balance the relationship between investment income and risk management is an important issue facing insurance companies.According to the current status of China's insurance fund investment in recent years,it can be found that with the continuous expansion of China's insurance industry and the development of asset allocation in a diversified direction,many insurance companies have problems with unreasonable investment structures.Considering the "particularity" of insurance funds,investment risk management should become a top priority for insurance asset investment.Therefore,this paper uses the annual returns of nine types of assets from 2003 to 2019,such as bank deposits,government bonds,financial bonds,corporate bonds,stocks,funds,real estate,overseas fixed income,and overseas equity,based on the Markowitz model The minimum variance of the rate is the investment goal.Using the sequence quadratic programming algorithm(SQP algorithm for short),combined with the regulatory ratio and regulatory constraints,an optimal analysis model for asset allocation under the second-generation system is established.Using MATLAB software to calculate the asset portfolio at the expected return of 3%-10%,and further use the Sharpe ratio to solve the optimal investment portfolio: bank deposits 6%,bond assets 79.14%,other investments 14.86%,this The current portfolio yield was 5.6%.On this basis,the optimal asset allocation ratio determined by the Markowitz model and the "second generation compensation" system were compared with the actual investment ratio in 2018 and 2019.The results show that the expected return rates obtained by the two models are higher than the actual investment return rate,the bond asset allocation ratio is higher than the actual ratio,and the stock and other investment allocation ratios are lower than the actual ratio.Based on the characteristics of the safety of insurance funds and the current economic environment,this article proposes the following suggestions:(1)For insurance companies,the allocation ratio of bank deposit assets should be reduced,and the investment in bond assets should be increased,while diversifying asset allocation should be further promoted;a reasonable asset and liability management system should be established;the level of asset management should be improved,and a professional investment team should be established.(2)In terms of regulatory agencies,continue to promote the reform of the insurance investment regulatory system and improve the insurance regulatory system;establish a reasonable and effective investment access system.(3)In terms of investment environment,accelerate the development of the bond market;accelerate the improvement of the capital market operation system to provide a stable environment for the use of insurance funds.