The Risk Analysis On The Securities Investment Of The Chinese Property Insurance Company Based On Semi-parametric VaR Model

With the development of the insurance industry in our country, the competition of insurance industry becomes fiercer and fiercer and the use of insurance funds gets more and more important. The continuously broadened usage of insurance funds and constant improvement of investment environment in recent years have brought great opportunities for the development of the insurance investment in China.The broadened investment channel of insurance funds means increase in investment risk, that is, the insurance institutes have to bear high risks when they are enjoying the high profit from investment in securities market. China's investment risks in insurance funds mainly focus on bonds, securities investment funds and circulation stocks. Therefore, the key problem for academic circle and trade associations to solve is how to effectively measure and manage investment risks.This thesis deals with the study of market risks of insurance funds investment in security assets. Firstly, it tentatively estimates the market risks by analyzing the closed index and the trend variation of daily logarithm returns of each security investment channel of insurance funds from the year of 2006 to 2008. Then it measures the market risks in the first half and the second half year of 2008 respectively by using semi-parametric VaR model of VaR analytic approach. Finally, it evaluates the propriety of the model it chooses and draws a conclusion that it is proper to adopt the semi-parametric VaR analytic approach at the credibility level of 5% through sensitivity analysis.The result of calculation shows the following conclusions: the potential risks of the stock market is much greater then its possible profits in the first three seasons of 2008 while the fourth season is just the opposite; it can not well disperse risks to invest in stock market and securities investment funds market in the second half year. These conclusions provide a reference for China's insurance companies to build rational investment proportions in their various investment sources as government loans, corporation loans, financial loans, stocks and securities investment funds according to their own risk preferences.