Conditional Value-at-Risk And Its Application In Portfolios Of Insurance Funds

This thesis discusses the principle of the risk measurement Conditional Value-at-Risk (CVaR) and its application in portfolios of insurance funds. Under the assumption that the return of the portfolios of insurance funds is normal distributed, and by minimizing CVaR of the selected portfolios with VaR as a constraint, we develop a new optimal model (i.e. VaR-CVaR model) that involving both the underwriting risk and the transaction costs. By using the geometric method, we obtain the effective frontier of our model. After considering the relevant policies of the CIRC, we develop the VaR-CVaR model under the constraint of investment proportions, and under this model we study the empirical performance for China Life Insurance Company,seek out the best combination of China Life Insurance Company.