时变Copula下我国寿险公司投资市场风险经济资本测度

随着保险资金投资渠道的放宽,保险公司对于自身资金运用方面的管理显得日益重要,基于此,选取了国债和政府机构债券、企业债、证券投资基金以及股票这四种资产作为研究对象,将收益率低于同期银行存款利率的情形视为损失,结合样本数据进行了经济资本的测度分析.通过对比以往学者的研究,选定了用GARCH-偏正态分布进行收益率的拟合,并运用时变Copula函数进行风险相关性的测量,计算出了不同置信度下,寿险公司投资市场风险的经济资本.结果显示,时变Copula比常数Copula在风险相关性度量方面表现更好.

The Research on Economic Capital Measurement of Investment Market Risk in the Life Insurance Company Based on the Time Varying Copula

With the broadening investment area of insurance companies, the insurance company management on fund investment is becoming more and more important. This article chooses the treasury bonds, corporate bonds, securities investment funds and stocks as the research objects, defines the situation where the return rates is less than the deposit interest in the same period as loss and calculates the economic capital combining with the sample data. By comparing the previous research, this paper chooses GARCH-Skew Normal model to match each return rate, catches the relationship among these risks with time varying copula, and calculates the economic capital of investment market risks in the life insurance company under different confidence intervals. The result shows that time varying copula performs better than static copula in catching the relationship among these risks.