The Analysis Of Risk On Insurance Funds Investing Based On EGARCH-CVaR Method

It is obviously important to make an investment in the management of the insurance company. As China’s insurance funds be allowed to enter the market, participate in infrastructure and invest real estate, the diversity of the types of investments makes the environment of insurance industry more and more complex, investment risk also increases. Compare with foreign countries, China is still in its infancy.This thesis analyzes the main sources of risk for insurance companies to invest, and introduced the CVaR method based on EGARCH Model, select stocks to prove it is the best method to use EGARCH Model under the GED distribution to measure the risk of using insurance funds. The empirical process estimates absolute CVaR value and relative CVaR value of six shares and portfolio, describing the extreme loss of status; According to the CVaR value of single stock and portfolio, financial institutions set up venture capital or extract the risk reserve, in order to monitor the potential extreme losses effectively.