Study Of Risk Measurement And Dynamic Correlation About Health Insurance Based On GARCH—VAR

Under the strategic requirements of health China,the base line of health insurance has been promoted from the risk of poverty caused by disease to the level of ensuring a well-off society in an all-round way.Health insurance as an important part of health insurance system in China,it plays an important role in social risk management and economic society development.At present,with the accelerated aging of our country's population,the situation of the population shows the characteristics of aging before being rich,increasing significantly,aging of the population and the large scale of the elderly population.By 2030,the population over 60 years of age accounts for about 1/4 of the total population in China.It needs to increase the investment in medical and social security in the future,which makes the development and reform of medical security system appear a new bottleneck.At the same time,due to the rapid development of urbanization and family miniaturization,further increase the effective demand for health care expenditure.Therefore,it is necessary to measure the risk of health insurance and study its comprehensive,professional business model.First,select the health insurance premium income of China from January 2006 to November 2016 as the source data.By normality test,stationarity ADF test and ARCH effect test for the return series of health insurance premium in China.ARMA model as principal model.To study the volatility of health insurance market,a GARCH family model is established to fit the rate of return of health insurance in China.The following results and conclusions are obtained.1.The skewness of the premium rate of return series of health insurance in China is 0.813115,more than O,which shows that there is a positive skewness of the rate of return,which shows that most of the returns are less than the average value of the sequence itself.The kurtosis was 28?13576,much more than 3,the result shows that the yield series has the characteristic of "peak and thick tail".The Jarque-Bera statistic has a large value and refuses the assumption of normality of the yield series at the level of 1%significance,which indicates that the sample data do not obey the normal distribution,so the ARCH effect of the yield series can be preliminarily judged.2.The statistical value of ADF test was-3.80542,and rejected the original hypothesis at the level of 1%,5%and 10%significance.It was considered that the rate of return of health insurance in China was stable.Then ARM A(1,0)model is established as mean value equation.The results of ARCH effect test with LM statistic show that the 7-order statistic is still significant,which shows that the rate of return series of health insurance in China has significant conditional heteroscedasticity.3.The EG ARCH(1,1)model was determined as an ideal model by the criterion function discriminant method,and the parameters in the variance equation were ?0=10.05187 and 0,=0.639624,both of which were greater than O,which indicated that the early fluctuation of income had the same influence on the later fluctuation.At the same time,the asymmetry coefficient ?1 is-2.387163,less than O,which shows that the change of the income of the health insurance market in China is asymmetric to the adjustment of the fluctuation intensity,and there is leverage effect.Performance is good news,health insurance market was equal to al + ?1=-4.154631 times the impact.When the same bad news came,the health insurance market was hit by?1-?1=.619695 times.This is consistent with the results reflected by the information shock curve:the curve is almost within the range of information shock less than zero,and the negative impact makes the volatility change much more than the impact of positive impact on volatility.4.Adaptability Test for EG ARCH(1,1)Model,The P value of the test statistic was higher than 0.01 after the fourth step,which indicated that the standard residual sequence was independent,that is,the residual of EG ARCH(1,1)model passed the test.Furthermore,the first-order ARCH effect of the standard residual sequence was tested by LM,and the associated probability P value of the ?2 statistic was 0.9731,which was higher than the significant level 0.05,which indicated that the ARCH effect did not exist in the standard residual sequence.Therefore,it is suitable to fit EGARCH(1,1)model to the series of health insurance premium return.Second,based on data from January 2006 to January 2017,select life insurance,property insurance and accident insurance as the relevant indicators,establishing of VAR model by Johansen cointegration test.Based on Granger causality test,impulse response analysis and variance decomposition,this paper empirically analyzes the interaction between health insurance,life insurance,property insurance and accident insurance in China.The results are as follows:1.In Johansen cointegration test,there is a cointegration relationship between health insurance and life insurance,property insurance,accident insurance,that is,there is a long-term equilibrium relationship.there is a positive correlation among life insurance,accident insurance and health insurance from long-term development.There is a negative correlation between property insurance and health insurance.And health insurance premiums will increase by 0.55%,0.76%respectively if life insurance premium income and accident insurance premium income increase by 1%respectively.But when the premium income of property insurance increases 1%,health insurance premium income will reduce by 2.2%Therefore,health insurance,the cooperative development of accident insurance and life insurance will promote the development of the whole insurance industry even the financial industry and also promote the healthy development of the national economy.On the contrary,the inhibitional effect of property insurance to health insurance is also a serious challenge for health industry.The long-term trend of health insurance premium income in China was 0.033999,which indicates that China's health insurance premium income will keep a steady growth trend.2.The VAR(6)model was established by LR(likelihood ratio)test,AIC information criterion and SC criterion,and the adaptability of VAR system was tested.The results show that the reciprocal of the roots of the delayed polynomials is less than 1,which indicates that the VAR(6)model is stationary.3.Through Granger causality test,we can see that health insurance,life insurance,property insurance and accident insurance are mutually causal relationship,and any three insurance industries also have a dominant impact on other insurance.According to impulse response analysis,we can know that,in the short term,a standard deviation from health insurance premium income against life insurance,property insurance,accident insurance's has a strong response immediately.Income added value is roughly the same,about 0.5,but the impact of the time is not long,to phase 3 has returned to the original level.After a slight decline,it is basically stable,which shows the life insurance industry,property insurance industry,accident insurance industry is subjected to an impact of external conditions.Through the market to pass to the health insurance industry and make the health insurance industry a co-impact,and this impact plays a dominant active role.Meanwhile,after the current issue of health insurance premium income is processing a positive impact,life insurance premium income,property insurance premium income and accident insurance premium income.And income itself will fluctuate violently during the first 3 period and begin to stabilize after the 3 period,which shows that a certain impact of the health insurance industry will also give life insurance industry,property insurance industry,accident insurance industry and its own impact on the same,which is to produce a pull.In variance decomposition,in the short term,the life insurance industry,the property insurance and accident insurance industry contributes a maximum of 5%,9%,38%respectively for the health insurance industry,and then levels off smoothly.Finally,based on the research of the volatility of health insurance market,this paper gives the relevant strategies for the supervision of health insurance market and investors to avoid investment risk.At the same time,some feasible suggestions are given to strengthen the comprehensive management of health insurance,life insurance,property insurance and accident insurance,and to promote the professional development of health insurance products.