摘要
本文将VaR风险度量方法应用到保险市场中。从上证A股中保险业的四家企业(新华保险、中国平安、中国人寿和中国太保)选取2013年6月18日至2014年6月18日一年的日线数据,计算并分析各自的风险价值。从计算结果中可以看出单风险因子简单加总比多风险因子Delta-正态VaR要高,由此可见分散资产和资产相关性能够降低风险。通过考察VaR值能够给保险经营者提供管理思路。
In this paper, the VaR method will apply to the insurance market. It chooses four corporations＂ daily data in insurance industry from A shares of Shanghai Stock Exchange between Jun. 18 in 2013 to Jun. 18 in 2014. And this paper uses the data to calculate and analyze VaR of each corporation. It concludes that the VaR of the simple addition of single risk factor is higher than the VaR of the multiple risk factors Delta- normality, we can see that the dispersion of assets and asset correlation can reduce the risk. By examining the VaR is able to provide the business management ideas for the managers of the insurance company.
出处
《武汉纺织大学学报》
2014年第6期78-81,共4页
Journal of Wuhan Textile University
基金
2014年国家自然科学基金(11401448)
2014湖北省自然科学基金(2014CFB765)
