基于CVaR理论的中国人寿资金入市风险研究

发布时间：2018-02-04 09:01

本文关键词： 寿险投资风险度量 CVaR GARCH模型　出处：《安徽财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：寿险业作为经营风险的行业,对寿险资金直接投资股票市场风险实施积极有效地管理与控制,对于保障我国保险业偿付能力、提高风险管理水平、促进保险业健康和稳定发展具有重要意义。中国人寿保险股份有限公司(以下简称“中国人寿”)作为我国最大的寿险公司,无论保费收入水平还是资金规模都占据我国寿险业百分之三十以上的份额。对中国人寿直接投资股票市场风险的研究,不仅对其他寿险公司投资风险管理具有借鉴意义,而且在某种程度上也代表了我国寿险业的情况。本文首先介绍了风险测度方法CVaR模型产生的基础——VaR模型,分析VaR模型的缺陷,然后对CVaR模型做了较为系统的阐述,对其参数选择、计算方法进行了较为深入的探讨,为后面的研究分析奠定了理论基础。其次对我国寿险资金投资现状与投资风险做出了总结。对我国寿险资金投资结构、投资收益进行了统计分析,重点介绍了中国人寿近几年的投资结构及投资损益情况,认为中国人寿资金直接投资股票市场存在风险。选取中国人寿投资股票市场近两年的数据进行了实证分析。针对股票收益率序列尖峰厚尾的特征,将GARCH模型引入CVaR的计算中,构造了度量单只股票风险的CVaR——EGARCH模型,较为准确的计算了单只股票的风险价值。根据组合CVaR值,中国人寿可以提取风险准备金。结合边际CVaR和成分CVaR揭示了投资组合风险构成,利用绩效评价指标(RAROC)对各只股票的风险收益进行了评估。中国人寿可以综合以上风险信息对股票投资组合进行调整以实现对投资组合整体风险的控制。最后,总结了本文研究所取得的成果,针对实证研究得到的结果对中国人寿直接投资股票市场风险提出了对策,并对CVaR模型在我国的应用推广做出建议。
[Abstract]:Life insurance industry as a business risk industry, the direct investment of life insurance funds in the stock market risk management and effective management, to protect the solvency of our insurance industry, improve the level of risk management. It is of great significance to promote the healthy and stable development of the insurance industry. China Life Insurance Company Limited (hereinafter referred to as "China Life Insurance") is the largest life insurance company in China. Whether the level of premium income or the scale of capital all occupy more than 30% share of life insurance industry in China. Study on the risk of China Life Direct Investment Stock Market. It not only has reference significance for other life insurance companies to manage investment risk, but also represents the situation of life insurance industry in China to some extent. This paper first introduces the foundation of CVaR model, analyzes the defects of VaR model, and then gives a systematic exposition of CVaR model and the choice of its parameters. The calculation method is discussed deeply, which lays a theoretical foundation for the later research and analysis. Secondly, it summarizes the current situation and investment risk of life insurance fund investment in China, and makes a summary of the investment structure of life insurance fund in China. This paper makes a statistical analysis of the investment income, and focuses on the investment structure and investment gains and losses of China Life in recent years. It is considered that there are risks in China Life Capital Direct Investment in Stock Market. The data of China Life Investment Stock Market in the past two years are analyzed empirically, and the characteristics of sharp and thick tail of stock return series are analyzed. The GARCH model is introduced into the calculation of CVaR, and a CVaR--EGARCH model is constructed to measure the risk of a single stock. The risk value of a single stock is calculated accurately. According to the combined CVaR value, China Life can draw the risk reserve. Combined with marginal CVaR and component CVaR, it reveals the composition of portfolio risk. Use of performance evaluation indicators. The risk return of each stock is evaluated. China Life can adjust the stock portfolio by synthesizing the above risk information to control the overall risk of the portfolio. Finally. This paper summarizes the achievements of this paper, and puts forward the countermeasures to the risk of China Life Direct Investment Stock Market based on the results of the empirical study, and makes some suggestions on the application and promotion of CVaR model in our country.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F842.3;F224

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