Study On The Risk In Investment Of Insurance Funds

With the rapid development of insurance industry and the rapid growth of total assets of insurance industry, the use of insurance funds becomes a key factor of stable development of the insurance company. Both the insurance committee and the stock committee issued and executed a management approach in China on October 24,2004. This indicates that the insurance capital have the access to the stock market directly. Broaden the investment channels of insurance funds also means that will increase investment risk, when insurance companies enjoy high-yield securities market, we should also bear high risks. Investment risk insurance funds in China mainly in bonds, securities investment funds and stock, the investment risk measurement and management is the core of the insurance industry solved the problem.The risk for the investment of insurance funds, this paper combines Pair_Copula model with CVaR portfolio optimization model, creats portfolio optimization model base on Pair_Copula_CVaR, gets investment risk value of insurance funds and optimal investment strategy. Basing on summing up the research status in and abroad, in the third chapter summarizes the theoretical knowledge of the insurance investment and Copula, including the sources and characteristics of insurance funds, investment principles and investment channels of insurance funds, analysises the risk types of insurance investment, the meaning, nature, correlation measurement and parameter estimation of Copula. In the fourth chapter creats portfolio optimization model bases on Pair_Copula_CVaR, first Pair_Copula model which researchs the correlation between multivariate variable, combining with vine theory, this paper innovatively constructs a multivariable dependence structure, with the vine’s iterative structure layer upon layer, the use of Pair_Copula model and parameter values, Monte Carlo to simulate future income capital market scenario, and get investment risk value of insurance funds and optimal investment strategy. In the fifth chapter selecting the SSE 180 Index, Government Bond Index SSE Fund Index and shibor value as the sample data. The results show that, CVaR as risk measure VaR indicators can make up for the defect of the information of tail distribution, the optimal investment strategy, investment should be concentrated in less risky bank deposits and government bonds, but also need to be appropriate to invest in riskier stocks and funds. In the sixth chapter bases on theoretical analysis and empirical results, making reasonable suggestions for investment in risk management of insurance funds.