基于Wang变换的财险公司投资市场风险经济资本测度研究

发布时间：2018-03-28 05:16

本文选题：资金运用　切入点：投资市场风险　出处：《湖南大学》2013年硕士论文

【摘要】：近几年来，我国保险业发展迅速，加速了行业竞争。迫于竞争压力，保险公司的承保利润下滑，保险资金运用显得越发重要。伴随着投资渠道的放宽，各主体纷纷加大了保险资金的运用。尽管保险公司的可投资工具有多种，但大部分公司将资产配置于银行存款、证券、股票等少数几种工具上，投资结构并不合理，保险资金运用存在较大的风险。我国监管机构对保险资金可投资的债券等级做了较严格的规定，大大降低了保险投资的信用风险，市场风险成为保险投资的主要风险。对投资市场风险进行有效度量有助于开展有效的风险管理措施，提高保险公司的整体收益，具有较大的理论和实践意义。本文对财产保险公司资金运用所面临的投资市场风险进行研究。首先分析投资市场风险对财产保险公司偿付能力的影响，以此为基础，对保险公司的投资市场风险现状进行分析，论述经济资本与投资市场风险的关系。通过对比多种金融风险测度方法，，选取Wang变换测度投资市场风险，对Wang变换起源、性质、应用进行了剖析。在此基础上，构建Wang变换投资市场风险经济资本测度模型，对模型的原理、要素以及实现进行分析。最后，以某有代表性财产保险公司的资金运用状况为个案进行分析。为排除2007年金融危机的影响，本文选取2010年1月~2013年4月为度量区间，以国债、金融债、企业债、证券投资基金、股票五种资产为研究对象，界定收益率低于同期银行存款收益率的情况为损失。鉴于各指数收益率的特征，用GARCH拟合各指数收益率，以Frank Copula捕捉各资产相关关系，最后通过Wang变换对整体的损失分布进行调整以测度经济资本。实证结果表明，基于Wang变换测度的经济资本要大于VaR，以VaR测度投资市场风险经济资本易低估损失，而Wang变换对损失分布进行调整，提高了投资市场风险经济资本测度的准确性。
[Abstract]:In recent years, China's insurance industry has developed rapidly and accelerated competition in the industry. Under the pressure of competition, the underwriting profits of insurance companies have declined, and the use of insurance funds has become more and more important. With the relaxation of investment channels, The main bodies have increased the use of insurance funds. Although insurance companies have a variety of investable instruments, most companies allocate assets to a small number of instruments, such as bank deposits, securities, stocks, etc., and the investment structure is not reasonable. There is a greater risk in the use of insurance funds. Our country's regulatory bodies have made more stringent regulations on the bond grades in which insurance funds can be invested, which has greatly reduced the credit risk of insurance investments. Market risk becomes the main risk of insurance investment. It is of great theoretical and practical significance to measure the risk of investment market effectively to carry out effective risk management measures and to improve the overall income of insurance companies. This paper studies the investment market risks faced by property insurance companies in the use of funds. Firstly, it analyzes the influence of investment market risks on the solvency of property insurance companies. This paper analyzes the present situation of investment market risk of insurance company, discusses the relationship between economic capital and investment market risk, selects Wang transform to measure investment market risk, and analyzes the origin and nature of Wang transformation by comparing various financial risk measurement methods. On the basis of this, we construct the Wang transform investment market risk economic capital measurement model, and analyze the principle, elements and implementation of the model. In order to rule out the influence of the financial crisis in 2007, this paper selects January 2010 ~ April 2013 as the measurement range, and takes the national debt, financial debt, corporate debt, securities investment fund as the measurement range, taking the capital utilization status of a representative property insurance company as a case study, in order to exclude the impact of the financial crisis in 2007. Five kinds of assets of stock are taken as the object of study, and the situation that the rate of return is lower than that of bank deposit in the same period is defined as the loss. In view of the characteristics of the yield of each index, the paper uses GARCH to fit the yield of each index, and uses Frank Copula to capture the relationship between each asset. Finally, the overall loss distribution is adjusted by Wang transform to measure economic capital. The empirical results show that the economic capital based on Wang transform is larger than that of VaR, and the risk economic capital of investment market based on VaR is easy to underestimate the loss, while the Wang transformation adjusts the loss distribution. Improved the investment market risk economic capital measurement accuracy.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.3;F272.3

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