Abstract: Recently, some of the researches on insurance portfolio selection pay too much attention on earnings, others do not consider the dynamic process of insurance operatio or the constraint of policy. Aimed at this situation, this paper structures a model based on Risk Adjusted Return on Capital and VaR under the restrictions of policy, and get the optimal investment range, which offers important space for insurance companies. At the same time, we make comparative static analysis about different economic circumstances and compensation, and get the change of mean and VaR. Combined with the case, we find that althought the adjustment of investment strategy can lower the bad attack on underwriting, the increment of investment earnings can not make up the decrease of underwritings profit. It is clear that underwriting stationarity is signality to all the companies.

Key words: insurance portfolio selection, risk adjusted return on capital, risk adjustment, the constraint of policy, Mean-VaR Space