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Abstract In recent years, China’s insurance fund use supervision has begun to implement the policy concept of “opening the front end and controlling the back end”. In the front end, it implements the main class asset supervision policy, and in the back end, it implements the C-ROSS policy. Under this new policy background, how to optimize the investment structure of insurance companies is a very important issue. Considering the actual regulatory policy content of China’s insurance industry, taking the minimum risk capital of the portfolio as the optimization objective, and taking the investment proportion limit in the main class assets supervision as the constraint condition, a new portfolio model is established to calculate various optimal portfolio proportions. The results show that: under the new regulatory policy, the theoretical allocation proportion of agreement deposit, infrastructure and real estate is higher, while that of bond investment and equity investment is lower. Compared with the theoretical investment proportion, the actual investment proportion of bond products is on the high side, while the real investment proportion of real estate investment products is on the low side. Therefore, in the future allocation of main class assets, China’s insurance funds should reduce the investment proportion of bonds and appropriately increase the investment proportion of real estate.
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Received: 19 February 2020
Published: 15 March 2020
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Corresponding Authors:
LI Yanrong
E-mail: liyanrong@mail.zjgsu.edu.cn
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2020, Vol. 40 
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