Application Of Copula Theory In Correlation Analysis Of Financial Data And Calculation Of Premium Rate

Copula function,as an effective tool to describe correlative structures,has many advantages in practical applications,which can effectively measure various correlative patterns and correlative degrees.In recent years,with the gradual improvement of Copula theory,its superiority has become more and more obvious,and it has been applied in many fields.Firstly,this paper introduces the related theory of Copula function,the method of parameter estimation and the selection method of the optimal function form.Secondly,in the practical application part,Copula theory is applied to correlation analysis of financial data and calculation of premium rate.In the aspect of correlation analysis of financial data: 1.Copula function is used to analyze the quarterly growth rate data of CPI,GDP,M3 in macroeconomic indicators.After choosing the optimal form of the three-dimensional Copula function,the optimal Copula function is used to analyze the correlation among the three and the tail correlation characteristics.It can be concluded that CPI has a positive correlation with GDP and M3;2.Copula function is used to analyze the historical data of Shanghai Composite Index,Shenzhen Composite Index and Growth Enterprise Index in financial stock index,the optimal three-dimensional Copula function is selected to describe the correlation among them and analyze the tail correlation.The results show that when two of the financial indexes change greatly,the probability of the third financial index change can be quantified.In the aspect of calculation of premium rate: this paper based on the data of wheat yield and price in Henan Province,considering the two major risk sources faced by farmers.Copula function and Monte Carlo method are used to wheat revenue insurance,and calculate the net premium value of wheat revenue insurance under different security levels.