A Study On The Optimal Hedging Ratio Based On The RV-GARCH-DCC Model

In recent years, the China’s insurance industry has become mature gradually. The scale of the premium income is growing rapidly. The increase of the market demand significantly promotes the diversification and the innovation of the insurance products. With the expansion of the insurance market, the regulator and the market has set higher requirements for the anti-risk ability of the insurance institutions. As the central element of the insurance institutions’ anti-risk ability, the solvency capital has become the focus of the CIRC.2014is important for the construction of China’s second-generation solvency supervision system, our country will be test the new solvency supervision system in this year. At the same time, the EU Solvency Ⅱ has been conducted for more than ten years since2001, which is expected to come into force in2016. The EU solvency supervision system for the insurance industry is among the most advance systems in the world, the launch of the EU Solvency Ⅱ can be instructive for China’s insurance supervision.This thesis aims at measuring the marginal risk of Life Insurance Company. The simulated policy data were estimated through the optimal estimation method, quantile method and scenario simulation method, the results shows that: the optimal estimation method that based on Solvency Ⅱ would be the main method used in the future for th e estimation of technical reserve, its measurement method is consistent with the intern ational financial reporting standards, and is sensitive to the fluctuation of market risk, including the cost of capital, market interest rates and etc. The adoption of this metho d can facilitate the insurance company to take timely adjustments, and withstand risk. However, problem exists that there is a lack of accurate estimation of the capital cost rate, which requires further perfect of the credit rating system of the financial market in our country, in order to ensure the objectivity and accuracy of the capital cost rate. Secondly, the research for the minimum solvency capital of non life insurance was co nducted, empirical study shows that:current requirements for the minimum solvency capital of non life insurance cannot meet the market requirements, and the measureme nt standard applied is relatively low. In this thesis, the parameters of the current regula tory framework were re-estimated based on the data of non life insurance market in C hina from2008to2012.According to the above discussion for the core content of Solvency Ⅱ, the researc h for the measurement method of marginal risk of Life Insurance Company, the empir ical study of the minimum solvency capital and the state-of-the-art of China’s insuran ce industry, several effective advices on the construction of solvency regulation syste m in China are proposed in this thesis:conduct a comprehensive assessment for the ris k of insurance institutions, promote the improvement of actuarial skill, perfect the ins urance accounting standards, strengthen the supervision of insurance institutions, facil itate the information disclosure of insurance companies and focus on the construction of solvency systems of large insurance groups.