摘要
下端部分矩(LPM)是量度下侧风险的有效工具。本文将下侧风险的量度运用于我国保险业的实证研究,以资产收益率(ROA)作为收益指标,通过对比香港上市的三家保险公司在投资者不同风险偏好下的下端部分矩(LPM)的值,定量分析我国保险上市公司面临的风险状况,为进一步实现保险公司投资者的风险和收益最优权衡以及强化保险公司内部监管提供有效的工具。
Lower Partial Moment, put forward by Bawa, is commonly used to measure the downside risks. This paper makes an empirical analysis of insurance industry in Chins through the downside risk measures, utilizes return on assets as a return index and analyzes the risk condition of insurance listed companies in China quantitatively, which, in the end, will provide the effective tools for achieving best optimal equilibrium between risk and return for the investors and provide applicable methods to enhance the inner supervision in insurance companies
出处
《中国矿业大学学报（社会科学版）》
2008年第2期74-77,共4页
Journal of China University of Mining & Technology(Social Sciences)
关键词
下端风险矩
保险公司
下侧风险
lower risk moment
insurance company
downside risk
