The Integrated Risk Research Of The Insurance Company In China Based On Copula Connect-CFVaR Model

With the arrival of the financial liberalization, globalization and financial innovation, The risks of financial industry scale expands rapidly, the diversification and complication. From the financial crisis, the Asian financial crisis in Mexico, a financial turmoil in some countries of Latin America, barings bank, allied Irish Banks to occur,Financial institutions risk management has received unprecedented attention. And the management risk of the insurance company because of its special features, make the need to take more and more complex than other financial institutions risk. with the further opening of insurance market, insurance industry scale expands gradually, how to build a complete risk management system to control the total risk of the insurance company is the priority of each insurance company. Therefore, how to effectively identify, measure the overall risk to the insurance company and insurance company capital allocation strategy become one of the company focus on the problem.Comprehensive risk management strategy to China for a long time, it is widely used in insurance institution, the risk identification, measurement, the insurance company has played a positive effect for the prevention of and enterprise management, operation and management three management said insurance company. Compared with the traditional risk management, comprehensive risk management can reflect management more comprehensive, dynamic and creative value. Comprehensive risk management to risk management and internal control and management together, coordinate the relationship between the three, to strengthen the insurance company’s overall risk management system. At the same time, the total risk management by means of value at risk, the measure of the overall enterprise risk fully considering the relationship between all kinds of risks, and full attention to the correlation effects on total cost, so as to get more precise value at risk, improve enterprise efficiency of risk management. This article try to insurance company the insurance risk, credit risk and market risk to three kinds of main risk for the study of how to integrate various risks are respectively have a certain correlation, the consolidated total risk measure, and carries on the empirical analysis using the available data, the implementation of comprehensive risk management to insurance company have a positive role in promotingIn this paper, theoretical part based on the risks of insurance companies and the risk management theory, this paper expounds the application of specific methods in the process of modeling in this paper. In the risk management theory, compared with the traditional risk management, comprehensive risk management theory to better measure the overall risk of insurance company, reduce the risk of insurance company cost of capital, improve the capital utilization of insurance company. In the process of integration of risk, the risk is the correlation between we need to focus on the problem, a simple linear relationship between the risk associated with cannot summarise complex. Copulas connect function can well describe the nonlinear asymmetric relationship between financial data, and can be connected to meet different marginal distribution, the overall risk for insurance company value measurement to provide a more accurate method. In the process of modeling, the choice of different connection function directly affect the model’s fit and unfit quality will affect the measurement of the value at risk as a result, this article choose can accurately depict the financial data rush fat-tailed features Cornish-Fisher (CF) VaR risk measure methods of risk measurement, to better measure the integration risk and achieve the optimal configuration of capital.Selected in this paper, the empirical part of the insurance company in loss ratio, Shanghai bond index yield and on the Shanghai composite index return of depicting the insurance of insurance company risk, credit risk, market risk, using copulas connect function of insurance risk, credit risk, market risk, two modeling using Cornish-Fisher (CF) to calculate the value at risk of VaR, and on the basis of two risk models using two stage method to build the model of copulas connect the three risk using monte carlo simulation technology and the VaR failure inspection method to verify this model, and according to the calculated result of insurance company’s overall risk capital allocation. By comparing different models of the empirical results it is concluded that, first of all, the insurance company’s insurance risk and credit risk into positive correlation, negative correlation with market risk, but were not significant. Second, copulas connect model can describe the dependence structure between risk apt, and choose different copulas connect function fitting to the fitting result. Then, Cornish VaR-Fisher expansion can better describe fat-tailed features of financial data. Finally, on the basis of the optimal distribution, we concluded that integrated risk insurance risk in the insurance company is the largest, at 22.31%, is the main risk to the insurance company; Market risk while the smallest value at risk is bigger but due to its investment, so the minimum risk value is 3.24%, but due to the future scale of investment in the stock market enlarge need attention; And credit risk based on its investment scale and its robustness, so less risk of 3.81%, and it has a great effect on the value at risk of impairment is worth our attention.