This paper firstly introduces Markowitz's mean-variance model,then obtains stoch return rate,securities investment funds yieldrate,national bonds return rate,corporate bonds return rate and bank deposit interest rate during 2006-2010 and finally sets up mathematical model to get the optimal protfolio of insurence companies such as 65.68 percent for the investment in deposit and national bonds,29.2 percent for the investment in cooperate bonds and 5.12 for the investment in funds according to the requirement of insurance supervision committee for the investment of the funds of insurance companies.