基于EGARCH-CVaR方法的保险公司资金运用风险研究
发布时间：2018-07-27 09:52
【摘要】：投资在保险公司的经营中处于不可动摇的重要地位,随着我国保险资金获准入市,参与基础设施建设及进行不动产投资,投资种类的多样性使得保险业所处的环境越发的复杂,投资风险也随之提高。和国外比较,中国在这方面的探索还处于初级阶段。 本文分析了保险公司投资的主要风险来源,介绍了基于EGARCH模型的CVaR方法,选取个股实证了GED分布下的EGARCH模型为最适合用来对保险资金运用风险进行度量,并测算了六只股票的个股及投资组合的绝对CVaR值和相对CVaR值,描述了各自的极端损失状况；保险公司可以根据个股值和组合值,设置风险资本或提取风险准备金,从而有效地监控潜在的极端损失。
[Abstract]:Investment is an unshakable important position in the operation of insurance companies. With the insurance funds in our country allowed to enter the market, participate in infrastructure construction and real estate investment, the diversity of investment types makes the environment of the insurance industry more and more complex. The investment risk also increases accordingly. Compared with foreign countries, China's exploration in this area is still in its infancy. This paper analyzes the main risk sources of the investment of insurance companies, introduces the CVaR method based on EGARCH model, and selects the EGARCH model under the GED distribution as the most suitable method to measure the risk of using insurance funds. The absolute CVaR value and relative CVaR value of six stocks and their portfolios are calculated, and their extreme losses are described. Insurance companies can set up venture capital or draw up risk reserve according to individual stock value and portfolio value. This effectively monitors potential extreme losses.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.3;F224;F275
本文编号：2147455
[Abstract]:Investment is an unshakable important position in the operation of insurance companies. With the insurance funds in our country allowed to enter the market, participate in infrastructure construction and real estate investment, the diversity of investment types makes the environment of the insurance industry more and more complex. The investment risk also increases accordingly. Compared with foreign countries, China's exploration in this area is still in its infancy. This paper analyzes the main risk sources of the investment of insurance companies, introduces the CVaR method based on EGARCH model, and selects the EGARCH model under the GED distribution as the most suitable method to measure the risk of using insurance funds. The absolute CVaR value and relative CVaR value of six stocks and their portfolios are calculated, and their extreme losses are described. Insurance companies can set up venture capital or draw up risk reserve according to individual stock value and portfolio value. This effectively monitors potential extreme losses.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.3;F224;F275
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