Abstract
Since the 19th National Congress of CPC (the Communist Party of China), China has put forward more stringent requirements for the prevention and control of risks in the insurance industry. In order to measure the risk and performance of four main investment types of China’s insurance fund (bank deposit, bond investment, stock investment, fund investment), the paper first introduces the development and present situation of the insurance fund investment in China, and then uses the VaR model to measure the risk of each investment type. Finally, the performance evaluation of each investment type is carried out through the RAROC (Risk Adjusted Return on Capital) method. The result shows that China’s insurance industry still has problems such as asset-liability mismatch, hidden liquidity risk and increased credit risk. Additionally, it also reveals that there is still room for improvement in the investment structure of China’s insurance fund investment. This result not only provides relevant policy suggestions for risk management in China’s insurance industry, but also fills the blank of research in this field in recent years.
Highlights
What is known to all is that insurance plays an increasingly important role in family financial assets
In order to measure the risk and performance of four main investment types of China’s insurance fund, the paper first introduces the development and present situation of the insurance fund investment in China, and uses the Valueat Risk (VaR) model to measure the risk of each investment type
Jin (2016) pointed out that we have to consider both the impact of revenue and risk in the insurance fund investment, the VaR model should be combined with RAROC (Risk-Adjusted Return on Capital) method for performance evaluation
Summary
What is known to all is that insurance plays an increasingly important role in family financial assets. Based on the above background, this paper empirically analyses the risk of China’s insurance fund investment through VaR model, and puts forward relevant policy suggestions for China’s insurance fund investment. From the perspective of empirical contributions, insurance institutions can use risk information to re-adjust the insurance fund investment structure, and further diversify the investment risk. They can closely monitor the risk of insurance fund investment, make the institution perfect the internal control mechanism of risk management, and improve the management ability of the market risk.
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