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The Research On The Asset Allocation Of Annuity Insurance Fund Under The Impact Of Inflation

Posted on:2017-02-03Degree:MasterType:Thesis
Country:ChinaCandidate:J LiuFull Text:PDF
GTID:2279330485492436Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
First of all, some researches were established on the definition, feature and structure of annuity, after relevant literatures being read, both foreign and domestic, while combining current situation of Chinese basic annuity operation and the reformation targets of Chinese endowment insurance system together. Depending on the feature of annuity and existing theories, Black-Litterman mode was selected for the primitive mode of asset allocation, while the coefficient of inflation was used as variable for mode modification, conducting relevant researches on the relationship between inflation risk of annuity and asset allocation. Because different periods make different inflation, and the introduction of economic cycle was used to assort inflation coefficient of different periods, leading the asset allocation periodically. With a deep view on real economics of China and from the perspective that combined annuity fund assets and economic cycle, the empirical law was selected to establish GARCH economic cycle mode of annuity. In consideration of the feature of stock yield rate, such as the trend of sharp peak and thick tail, fluctuation clumping and leverage effect, the GARCH mode was used. Comparing different influence from different factors, the optimal asset allocation of annuity in economic cycle would be figured out, according to the multiple-standard fitting weight of largest asset allocation. Secondly, with VaR risk measures as constraints, the Black-Litterman-inflation mode was used to do the industrial asset allocation of annuity. While focusing on investment industry and comparing with the Investment Clock, the proportion of investment would be realized. The mode in this paper is an efficient type of financial tool for optimizing the investment managing and asset allocation of annuity, proving the possibility that the enrichment of varieties of investment would lead to steady appreciation of annuity. This method was an innovative one impinging on the traditions, which the fixed or ideal economic situation would be selected instead of the uncertainty of economic environment and financial market. And the author wishes this paper would be an important and beneficial supplement for study and further progress of theories of assets operation of Chinese basic annuity, and an efficient and flexible tool for optimization of financial problems under the conditions of uncertainty.
Keywords/Search Tags:endowment insurance fund, economic cycle, Black-Litterman mode, the Investment Clock, asset allocation
PDF Full Text Request
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