基于经济资本的我国保险公司投资风险限额配置研究  

Investment Risk Limits for Insurance Companies based on the Theory of Economic Capital

作　　者：田玲[1] 王正文[1] 许潆方[1] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《保险研究》2011年第11期31-38,共8页Insurance Studies

基　　金：国家自然科学基金项目"基于经济资本的保险公司整体风险管理研究"(批准号:710730112)阶段性成果;教育部人文社会科学2009年度重大攻关项目"巨灾风险管理制度创新研究"(批准号:09JZD0028)阶段性成果

摘　　要：投资风险限额管理是保险公司对投资风险进行管理的重要手段,是保险公司建立有效风险管理体系不可或缺的组成部分。保险公司投资风险限额管理主要包括投资风险限额配置、风险限额监控和风险限额动态调整三个环节,其中风险限额配置是整个风险限额管理流程的基础。运用GARCH模型和GJR模型,并结合Copula理论,探讨了投资风险限额配置的方法,通过实证分析证实投资组合之间存在分散化效应,各投资风险限额之和大于总风险限额,并得出投资风险限额优化配置模型调整资产配置,可以显著提高保险公司投资绩效。Management of the investment risk limits is an important tool to manage the investment risks for insurance companies. This function contains the processes of distribution, supervision and dynamic adjustment, and is in- dispensable for building the risk management system. The distribution of the risk limits is the basis of the management. This article used the GARCH model and GJR model, and together with the Copula theories to explore on the method to set the risk limits. And as the existence of diversification between investment lines, the sum of the risk limits of all investment lines was obviously larger than the total risk limits by the Copula model. Therefore, the paper concluded that the optimization model for distributing the investment risk limits and allocating assets could significantly improve the investment performance of insurance companies.

关 键 词：经济资本 风险限额 COPULA理论 GARCH模型 GJR模型 

分 类 号：F840.32[经济管理—保险]