Proceedings of the 2019 4th International Conference on Financial Innovation and Economic Development (ICFIED 2019)

Research on Asset Allocation of Insurance Companies Based on Mean-Variance Model

Authors
Wenhui Li
Corresponding Author
Wenhui Li
Available Online February 2019.
DOI
https://doi.org/10.2991/icfied-19.2019.37How to use a DOI?
Keywords
Mean-Variance Model, Insurance fund allocation, Portfolio
Abstract
As a debt-based financial institution, the core work of insurance company management is asset allocation, and portfolio planning is one of the key links in the company's asset allocation. Starting from the Markowitz’s Mean-Variance Model, combined with the regulatory requirements of China's insurance industry and the actual situation of the capital market, this paper improves the model by adding constraints, and establishes a nonlinear programming model suitable for asset allocation of insurance companies in China. The model strives to use the scientific quantitative model to select the optimal allocation plan that accords with the company's risk preference, and improve the efficiency of insurance funds. Furthermore, this paper takes the PING AN INSURANCE COMPANY as the background, solves the model through LINGO software, and conducts empirical analysis on the output. Finally, based on the empirical analysis, the feasibility and practical significance of the model are verified, and policy recommendations are proposed accordingly.
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Proceedings
2019 4th International Conference on Financial Innovation and Economic Development (ICFIED 2019)
Part of series
Advances in Economics, Business and Management Research
Publication Date
February 2019
ISBN
978-94-6252-678-5
ISSN
2352-5428
DOI
https://doi.org/10.2991/icfied-19.2019.37How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Wenhui Li
PY  - 2019/02
DA  - 2019/02
TI  - Research on Asset Allocation of Insurance Companies Based on Mean-Variance Model
BT  - 2019 4th International Conference on Financial Innovation and Economic Development (ICFIED 2019)
PB  - Atlantis Press
SP  - 196
EP  - 204
SN  - 2352-5428
UR  - https://doi.org/10.2991/icfied-19.2019.37
DO  - https://doi.org/10.2991/icfied-19.2019.37
ID  - Li2019/02
ER  -