The Research Of The Enterprise Annuity Investment Strategy Based On ARJI GARCH ES Model

Enterprise annuity is an important supplement of China’s social security system,which is also the security of rapid development for the current endowment insurancesystem. At present, the aging population and pension gap of our country are gettingmore and more serious, Enterprise annuity is a effective lever for solving the problemof social security, and gets more and more attention form the government and thesociety. Enterprise annuity has great potential development scale, According to theworld bank forecast, our country enterprise annuity scale will reach$1.8trillion in thenext twenty years, so the requirements which applying scientific investment theory torealize the value of the enterprise annuity fund are also improved. According toChina’s legal constraints and market environment, this paper draws lessons formdomestic and international advanced research methods, and provides scientifictheoretical guidance for our country’s enterprise annuity investment strategy.This paper studies the optimal investment strategy problem of the enterpriseannuity, and selects the investment portfolios of the Shanghai composite index andShenzhen composition index and Hang seng index as the research object. First of all,through the comprehensive comparison research of the GARCH and EGARCH andARJI-GARCH model, we find that the ARJI-GARCH model has more advantages indepicting the distribution of financial asset yield; Secondly, with the Shanghaicomposite index yield as the research object, this paper compares the effectiveness ofthe VaR and ES based on ARJI-GARCH model respectively in normal distributionand the abnormal distribution, and find out: the effectiveness of the ES are higher thanthe effectiveness of VaR in the two kinds of distribution, because financial asset yieldusually do not obey the normal distribution, so ES is better than VaR as the riskmeasurement method in the security market in China. At last, the ARJI-GARCHmodel and ES model are applied to the enterprise annuity optimal investment strategyselection, and builds the mean-ES model,we get a more realistic meaning combinationstrategy choice result.