我国保险公司资金入市的风险收益分析

广西师范大学硕士学位论文我国保险公司资金入市的风险收益分析姓名：黄春燕申请学位级别：硕士专业：企业管理指导教师：高劲20080401I:::::2005CopulaCopulaCopulaCopula-GARCH-t11GARCH-t11GARCH-t11tα0.05CopulaIIVaRVaRVaRVaR2007CopulaVaRIIITheRisk-benefitAnalysisofChina,sInsuranceFundsintheStockMarketAbstractNowadaysfinancialmarkethasbeendevelopedveryfastwhileitalsoencounteredgreatfluctuationwhichithasnevermetbefore.ChinaFinancialMarketisinitsearlystageofdevelopmentwilldefinitelyfaceanacutefluctuationespeciallystockmarketsinceit’snewlyandfast-developedthereforeit’squiteimmatureasaresultit’sriskytoinvestinsuchamarket.Insurancefundsflowintostockmarketwillbebenefitforbothinsurancecompanyandstockmarketsinceinsurancecompaniesneedtodoinvestmentwhilestockmarketneedsmorefundsitwidenedchannels’ofinvestmentforinsurancecompanieswhowillinturnstabilizeitsoperationandthenbecomemorecompetitiveinitsmarket.Whileforstockmarketinsurancefundisastablefundprovider.Sinceit’sriskytoinvestinthestockmarketthereforeriskmanagementwillbevitalhere.Firstlytoestimatehowriskyitisandhowmuchreturncanbeobtainedfromhere.Theobjectiveofaninvestortodoinvestmentisgetreturngenerallyspeakinghighriskhighreturnwhilelowrisklowreturnsincestockmarketisahighriskmarketisthereturnwillbealsohighhere?Thesearetheissuesthatwillbediscussedinthispaper.ThemaincontentsareDefinitionTheoremandadvantageofCopulaFunctionCopulaFunctioncancapturethecorrelationbetweennonlineardependenceAsymmetricdependenceCopulaModelisanonlinear-basedmodelit’sclosertorealitythereforemoreeffectiveanduseful.SelectcombinationofChinaLifeinsuranceandinvestmentandcombinationofChinaPing’anandinvestmentasanexamplewetriedtoobtainthecorrelationbetweeninsurancestockandinvestmentstockbyusingCopula-GARCH-t(11)modeltoestimatetheMarginalDistributionandcorrelationcoefficient.TheMarginalDistributionestimatesisthesameasParametersestimatesinGARCH(11)ModelthenaccordingtostandardtdistributiontoderiveDegreeofFreedomfromtheDegreeofFreedomitappearsheavytailsincombinedinvestmentstockofChinaLifeInsuranceandChinaPing’anthefluctuationsintheresidualcoefficientalphaarepositiveandallbelow0.05whichmeansthatthefluctuationbetweenChinaLifeInsurancestockandChinaPing’anstockandtheircorrespondingcombinedIVinvestmentstockappearcollectionpropertyi.e.thepastfluctuationaffectsthefutureeitherpositivelyornegativelyitshowsgreatfluctuationssometimeswhilesmallerontheothertimes.ThecorrelationcoefficientindicatesthatthereisstrongAsymmetriccorrelationintherateofreturnofthetwogroupswhileit’sweakinthemiddleparti.e.whenthereisbigincreaseordecreaseintherateofreturnofthecombinedinvestmenttherateofreturnofinsurancestockwillfollowthetrend;whilewhentherateofreturnofthecombinedinvestmentisstablethecorrelationisweakbetweentherateofreturnofinsurancestockandcombinedstock.MorespecificChinaLifeInsuranceandit’sinvestmentcombinedarepositivecorrelationintherightandlefttail.Buttherightcorrelationismorestrongerthantheleft.TheseindicatedthattheChinaLifeInsurancecomealongwiththesameincreasewheninvestmentcombinedstockportfolioyieldincreasedandwhentheyielddeclinedChinaLifeInsurancealsodeclinedtoobutthetrendhasnotrisensignificantly.TheChinaPing’ansharesandit’sinvestmentcombinedintheresultsofportfolioanalysisofthecorrelationisthesameasChinaLifeInsuranceandit’sinvestmentcombined.Thestudyconcludedthatthecountry’sinsuranceindustryintheequityinvestmentisgoodatriskdiversificationandportfoliostrategy.SowecansaidChinainsurancecompanieshavebeenslowlybecomingmorematurebecausetheyhavegoodabilitytocontrolriskandthenobtainbetterbenefits.ThisshowsthatChinaInsuranceindustryhavebeensuccessfulinthenewinvestmentchannels----------stockmarketandSolvencyhasbeenstrengthened.itisconducivetopromotethefurtherdevelopmentoftheinsuranceindustry.VaRmodelisthemostcommonlyusedinfinancialrisk.ChinaLifeInsuranceandit’sinvestmentcombinedChinaPing’anandit’sinvestmentcombinedtheyareselectedtoanalysisbasedontheVaRmodel.ThestudyfoundthatthecalculatedvalueofVaRgainsandlossesinexcessofthenumberoflittlevalueandtheratioislessthanthepre-setlevel.FromthevalueoftheVaRwecanonceagaincertifiedtheabovementionedChina’sinsurancecompaieshavebeengraduallybecomingmorematureinthecontrolrisksoastohavegoodincome.Howdidtheinsurancestock’sincomeafteritsfundenteringthemarketperformance.SelecttheShanghaiCompositeindexreturnsratiohashadlargefluctuationdatein2007.TaketheChinaLifeInsurancestockandChinaPing’anstockastheempiricalanalysisobject.Accordingtocalculatesthesetwoinsurancecompaniestohavethelargefluctuationsamedayinthebulklotsandthepostponethreeday-longincomesituation.TheresultdemonstratedthattwoinsurancestockpricesandthebulklotstrendwasthesameinthesamedayandwhendropssharplythetwoinsurancestockalsooccurdropssharplybuttheseconddaystartedtoriseVwhenthetrendisrisen;thetrendissametodropbutinthefuturethreedayswillstarttorecede.Therearemanyreasonsforthesephenomenonforexampleinterestonthefuturereducedtheinteresttaxandsoon.Thesearegoodnewsforinsurancecompanies.InadditionstoChinaLifeInsurancecompanyandChinaPing’ancompanyhavebeengoodpremiumsandgoodinvestmentyieldtheseenabledtheinvestoranticipatedt