The Model And Empirical Analysis Of The Value Of Pension Insurance In China

Maintaining and increasing the value of the endowment insurance fund has become both a hot issue in the society and an important research topic in the academic circles.The pension fund is mainly used for maintaining the basic living of the old people after finishing their social work.With the aggravation of Chinese aging population and the emergence of inflation,the pension fund gap has become more and more apparent,and the fund gap has reached about 300 billion yuan by the end of 2015.In order to decrease the burden of funding sources,we must depend on the fund's own operation to realize the maintaining and increase of value.In August 2015,China formally promulgated The Basic Endowment Insurance Fund Investment Management Approach,which is for maintaining and increasing the value of pension fund,and it marks the beginning of our pension funds entering the capital market.According to constructing a mathematical model of investment portfolio on the base of studying the portfolio approach,the author invests the funds in different financial products with a certain proportion to disperse risk and obtain stable investment income.The specific works are described as follows:1.The author uses the practical calculation and comprehensive analysis to compare the three estimation methods of VaR.The variance-covariance estimation method is higher than that of the other two methods in solving the value of risk,and can calculate the expected maximum loss concisely and intuitively.2.For the core issues of the portfolio,that is to say how to effectively share the distribution of financial products,the author puts forward an expected utility function according to the situation of our country.And the function is concave when it returns,and the function is convex when it losses.It reflects investor preference towards risk.It reflects the degree of preference that investor treats the risk.3.By analyzing the problems existed in the mean-variance model,that is to say,the defect of taking the variance as a risk measurement tool.The author proposes an improved model--expected utility function-VaR risk model,and choses the utility as a risk measurement tool.When the portfolio gets the expected maximum utility,and the asset allocation weights is optimal,it obtains the maximum cumulative gain.4.From July to September in 2015,the author selected 30 stocks from Shenzhen Stock Exchange Data and made an empirical analysis,among these 92 days.The author made an analysis between the mean variance model and the expected utility function-VaR risk model.The results showed that the optimal weight distribution of this model is more reasonable,which reduced the investment on risky assets and the final yield is higher than the mean-variance model,thus the author verified the effectiveness and advancement of the model.The Expected utility function-VaR risk model provides a guarantee for the market investment of pension fund in China,and also provides a basis for increasing and maintaining the value of pension funds.