As an upgrade version of “go global” strategy，“The Belt and Road” Initiative gives Chinese enterprises a further guide in the dimensions of space，industry and so on. Facing with the “new normal” economy and the new global context，our enterprises are confronted with many risks in several respects such as politics，economic，legal and so on，during the foreign trade and overseas investment. The construction of the risk management system has become a primary job for the enterprises for going global. By performing the three key functions，indemnity cover，loss prevention and financing，the insurance industry could not only give the directional guidance to enterprises as a governmental policy tools on a macro level，it could also provide necessary support to the enterprises in micro practices such as risk sharing and credit guarantee. Comparing with western developed countries，the insurance industry in China started late in 1980s，a series of systemic problems found be found. In this paper，measures and experience of the western developed countries in supporting the outward foreign trade and oversea investment are sorted out and then specific countermeasures and suggestions on China’s insurance industry for supporting the “B&R” construction are put forward.