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| Title: | 大陸壽險公司在市場風險的經濟資本之分析
Analysis of the Economic Capital Measurement on Market Risk in Mainland China’s Life Insurance Companies |
| Authors: | 溫琰筠
Wen, Yan-Jun |
| Contributors: | 林士貴
蔡政憲
Lin, Shih-Kuei
Tsai, Cheng-Hsien
溫琰筠
Wen, Yan-Jun |
| Keywords: | 經濟資本
GARCH模型
動態t-Copula
風險值
VaR回測
Economic capital
GARCH
Dynamic t-Copula
Value At Risk
VaR Backtesting |
| Date: | 2019 |
| Issue Date: | 2019-07-01 10:48:39 (UTC+8) |
| Abstract: | 隨著利率降低，承保利潤下降，壽險公司在投資端的壓力越發嚴重，保險公司在資金運用和風險控管的要求越來越高。經濟資本(economic capital,EC)是保險公司其中的一種風險度量方式，能夠根據公司自身特性使用各種數據和模型評估自己的風險。本文以中國大陸的壽險公司為例，選取了國債和政府機構債券、企業債、證券投資基金和股票作為投資風險中的研究對象，採用各類GARCH(1,1)模型搭配殘差為skew student和normal之分配和動態與靜態之t-Copula和n-Copula模型計算在不同的信賴水準下壽險公司在市場風險的經濟資本，並進行風險值VaR的回測，對比不同Copula模型的差異性，供壽險公司在進行風險度量時的參考，實證結果表示動態的t-Copula對經濟資本的預測效果最好。
The pressure for investment business of life insurance companies is more and more severe due to the declining interest rates and underwriting profit. The economic capital is a risk measurement method which allow companies use their own data and models to valuate risk. In this article, we take a Chinese life insurance company as an instance, selecting the treasury bonds, corporate bonds, securities investment funds and stocks as the research portfolio in investment risk. Then we use different types of GARCH(1,1) with skew student and normal distribution along with dynamic and static t-Copula and n-Copula model to measure the value at risk under different confidence levels and do backtesting in VaR. At last, we compare the result of these Copula models and find that the dynamic t-Copula performs better than others, therefore as the reference for the life company for further action in measuring Economic Capital. |
| Reference: | 中文文獻：
中國人壽保險股份有限公司2017年年度報告(2018)，取自http://www.chinalife.com.cn/chinalife/xxpl/gkxxpl/ndxx/221552/
王豐華(2013)保險公司證券投資風險計量與經濟資本配置研究，湖南大學金融與統計學院碩士論文。
林楚雄，陳宜玫(2002)，台灣股票市場風險值估測模型之實證研究，管理學報,第十九卷,第四期pp.737-758。
周遊(2014)保險集團經濟資本Copula-Var方法測度研究——以平安保險（集團）公司為例，西南財經大學保險學碩士論文。
陳志偉(2005),外匯投資組合風險值之估計-DCC多變量GARCH模型之應用，淡江大學財務金融學系碩士在職專班碩士論文。
陳迪紅、樊露陽(2015)，時變Copula下我國壽險公司投資市場風險經濟資本測度，經濟數學，Vol.32,No.1。
耿慶峰(2013)我國創業板市場與中小板市場的動態相關性研究-基於DCC-GARCH模型和Copula模型的比較分析，西部論壇 Vol.23 No.5。
英文文獻：
Andjelic ́j,G.,(2010),Application of VaR in emerging markets: A case of selected Central and Eastern European Countries, African Journal of Business Management Vol. 4(17), pp.3666-3680.
Bollerslev,T.,(1986),Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, Vol.31,pp.307-327
Alexander, C ., Leigh,C. T.,(1997),On the Covariance Models Used in Value at Risk Models”, The Journal of Derivatives 4(3),pp.50-62
Čorkalo,Š., (2011), Comparison of a Value at Risk approaches on a stock portfolio, Croatian Operational Research Review (CRORR) Vol. 2, 2011 pp.81-90.
Engle,R.F.,(2002),Dynamic conditional correlation: A simple class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Model, Journal of Business and Economic Statistics,Vol.20(3),pp.339-350.
Kupiec,P.H.,(1995), Techniques for Verifying the Accuracy of RiskMeasurement Models, The Journal of Derivatives, winter, pp.73-84.
Shim,J.,Lee,S-H.&MacMinn,R.,(2011)Measuring Economic Capital: Value-at-Risk, Expected Shortfall and Copula Approach, SSRN Electronic Journal, ssrn.1840124.
Sklar,A.,(1959). Fonctions de repartition a n dimensions et leurs marges, Publications de l’Institut de Sta s ue de l’ niversit e de Paris, 8: 229–231. |
| Description: | 碩士
國立政治大學
金融學系
106352040 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0106352040 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU201900066 |
| Appears in Collections: | [金融學系] 學位論文
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