Author(s)

Ziyang Yao

School of Economics and Finance, Shanghai International Studies University, Shanghai, China.

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.

Insurance Fund Investment, VaR Model, RAROC Method, Policy Suggestions

Yao, Z. (2018) The Risk Measurement of China’s Insurance Fund Investment—Based on VaR Model. Journal of Financial Risk Management, 7, 191-204. doi: 10.4236/jfrm.2018.73013.