Study On The Economic Capital Measurement Of Property Insurance Companies Based On Corrected Tail-VaR Models

With the recovery and development of our country insurance business in the 1980 s, and the state, including the insurance industry, insurance industry to carry on the positive expression, how to further research the property insurers problems existing in the process of economic capital management, further play to the economic capital measurement in the core role of economic capital management, become to carry out the party's eighteen big "further development of the insurance industry" strategy, promote the development of insurance industry in our country is in dire need of solving the problem. Economic capital measurement model for the evaluation of scientific, systematically to measure of insurance companies in our country's economic capital, further improve economic capital management of insurance companies in our country, becomes the key to the revitalization of China insurance industry development.In this paper, comprehensive use of various disciplines theory and research method, the related theory including risk management, capital management, finance, insurance, economics and other disciplines, but also set the current theoretical circle both at home and abroad on the problem of insurance company in terms of economic capital measurement theory main achievements and the latest research results. And the combination of normative analysis and empirical analysis, combining qualitative analysis with quantitative analysis, theory research and example research method of combining the analysis of the above problems that are discussed and researched. In order to improve the insurance company's economic capital management, we must first concentrate on the economic capital measurement. On the basis of existing theories and models of economic capital measure, we choose the amended distribution Tail-VaR economic capital measurement model to measure the number of economic capital of China's insurance companies. Taking some property and casualty insurance companies in China as a sample, the paper makes the empirical research.The results of empirical research will provide a reference for the development of the insurance company on its risk control.Innovation of this paper is mainly reflected in the Tail-VaR model based on economic capital measure is carried out, the loss rate on the distribution of correction.Recently most studies assume a normal distribution loss rate.However the normal distribution assumption in many cases do not meet the characteristics of financial data, thick tail, not a good measure of the risk of property insurance companies. In recent years, some scholars have non-normal distribution based on the Tail-VaR model is corrected, but the study is limited to the gamma distribution. This article will further expand the loss rate distribution to the t-distribution to measure our property insurance company's economic capital amount. And selected the latest year data from ten major insurance companies in our country to carry on the empirical research, and has made the concrete analysis to the results of the study. Combined with the feature of Chinese insurance companies, the insurance company is carried out based on the revised Tail-economic capital measurement of VaR model, and improve the efficiency of risk management are also proposed. Has not given the relevant empirical research in the field of, in this paper, the research to our country insurance company to perfect the economic capital management, risk prevention has important practical significance.