In recent years, China's CIRC has repeatedly issued policies, regulations and normative documents on the use of insurance funds, greatly expanding the scope of the use of insurance funds, the flow of insurance funds will not be limited to the traditional fixed-income assets, began to stocks, funds, real estate investment, overseas investment and other diversified portfolio of paradigm shift. In the current situation underwriting profit of general insurance companies made a loss, return on investment of insurance funds has become a major source of profit for insurance companies; it is an important factor affecting the development of the insurance companies and guarantees the solvency of insurance companies. Therefore, how to build the optimal investment portfolio of insurance funds to improve investment income, become a hot issue in the insurance industry. This paper first analyzes the investment situation of insurance funds in China, and then introduces the investment situation of insurance funds in western developed countries, and further uses the Markowitz model to analyze the investment ratio of insurance funds in China. Finally, according to the model results, make policy recommendations.
