基于GARCH-VaR模型的保险投资绩效分析

Analysis on Insurance Investment Performance Based on GARCH-VaR Model

本文选用了2011年1月4日到2016年12月30日的上证国债指数、上证基金指数、上证企债指数、地产指数、沪深300的日数据,运用GARCH——VaR模型对我国保险资金运用的风险进行实证研究。研究表明:金融收益率序列存在"尖峰厚尾"性,满足建立GARCH模型的前提,并且利用GARCH模型计算的VaR误差最小。最后本文引入风险调整资本收益(RAROC),对2015年中国平安保险公司的保险资金运用情况进行投资绩效分析,以期对保险公司的资金运用情况提供一些实践指导。

This paper selects the daily data of the Shanghai Stock Exchange Bond Index,Shanghai Stock Exchange Fund Index,Shanghai Stock Exchange Bond Index,Real Estate Index,and ShanghaiShenzhen 300 from January 4,2011 to December 30,2016,GARCH-VaR model is used to study the risk of insurance funds in China.Research shows:there is a"spike and thick tail"in the financial yield series,which satisfies the premise of establishing the GARCH model,and the VaR error calculated by the GARCH model is the smallest.Finally,the paper introduces risk-adjusted capital gains(RAROC)to analyze the investment performance of China Pingan Insurance Company’s use of insurance funds in2015 in order to provide some practical guidance on the use of funds by insurance companies.