GARCH族模型对中国健康保险市场的风险度量  

Risk Measurement of Chinese Health Insurance Market Based on GARCH Model

作　　者：申世昌[1] 邵胜[1] SHEN Shi-chang,SHAO Sheng(School of Mathematics and Statistics, Qinghai Nationlities University, Xining 810007, Chin)

机构地区：[1]青海民族大学数学与统计学院,青海西宁810007

出　　处：《系统工程》2017年第12期59-64,共6页Systems Engineering

基　　金：国家自然科学基金资助项目(11561056);青海省自然科学基金资助项目(2016-ZJ-914)

摘　　要：在健康中国战略下,健康保险基准线从应对因病致贫风险上升到保障全面建成小康社会的高度。通过对中国健康险保费收益率序列的统计特性分析建立相关模型研究中国健康保险市场的波动性,选取2006年1月至2017年10月中国健康险保费收入为源数据,以ARMA模型为主体模型,结合GARCH族模型对中国健康险收益率序列进行拟合,最终选用EGARCH(1,1)模型为合理模型。发现中国健康险收益率具有显著的群集性、非对称性和杠杆效应,且健康险收益率的波动对利坏消息的反应强于对同等利好消息的反应。Under the strategy of healthy China,the base line of health insurance rises from the risk of poverty caused by disease to ensuring a well-off society in an all-round way.Research on the volatility of China’s health insurance market by establishing relevant models based on the statistical characteristics of China’s health insurance premium return series.Selecting the Chinese health insurance premium income from January 2006 to October 2017 as the source data,taking the ARMA model as the principal model,combining with GARCH family model to fit the return series of health insurance in China.Finally,EGARCH（1,1）model is selected as reasonable model.It is found that the rate of return on health insurance in China has significant clustering,asymmetry and leverage effects,and that the volatility of the rate of return on health insurance is more responsive to bad news than to equally good news.

关 键 词：健康保险 GARCH族模型 杠杆效应 信息冲击曲线 

分 类 号：F224[经济管理—国民经济] F840