基于VaR理論的我國(guó)壽險(xiǎn)資金直接入市風(fēng)險(xiǎn)管理研究.pdf

1、河海大學(xué)碩士學(xué)位論文基于VaR理論的我國(guó)壽險(xiǎn)資金直接入市風(fēng)險(xiǎn)管理研究姓名：宋傳明申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：區(qū)域經(jīng)濟(jì)學(xué)指導(dǎo)教師：史安娜20080301ABSTRACTUndertheapprovementofStateDepartment，ChinaInsuranceRegulatoryCommission(CIRQandChinaSecuritiesRegulatoryCommissionjointlypublished“theTempo

2、raryMeasuresforInsuranceCompaniestoInvestinStockMarket”inDec，24也2004signifyingthatChina’scurrencyininsurancemarketcanbeinvestedintostockmarketforthefirsttimeThismeasurecannotonlyimprovethelimitedwaysforstockmarketcurrenc

3、ytobeused，butalsoprovidealleffectivewaytosolvethelossofinterestoflifeinsurancecompanies，thuspushingforwardthelongtermandsounddevelopmentofinsuranceManagingtherisksofthiskindinanpositive&effectivewayc缸notonlysafeguardthei

4、nsurancemoneybutalsoimprovethemanagementoflifeinsurancecompaniesgreatlythusstabilzingChina’sinsuranceAiminginresearchingthewaystomanagetherisksforlifeinsurancetoinvestinstockmarket，thispaperhasmadesomeresearchFirstlyonth

5、ebasisofthespecialnatureofchina’smanagementofcapitalinlifeinsurancecompanies，thispaperhasconcludedsomeprincipleoflifeinsuranceinvestmentandspecializedtherisksconcernedThentheauthorinUoduecdsomepopularwaysofthiskindandmad

6、esomecomparisonsSecondlytheauthorintroducedthe“CaRtheoriessystematicallyandcorrecteditsweaknessesConcerningthefeaturesofChinasstockmarket，bycombiningtheVaRModelandGARCHmodelwhichcarldescribethecentralizingandlivereffects

7、forthefluctuationofstockmarket，theauthorusedtheVaRGARCHmodeltodescribetherisksoflifeinsurancecapitalinthestockmarketthusimprovingthenicetyofcalculationThentheauthormadedemonstateresearchbydataofChina’sSafeInsurance，thusd

8、iscoveringthatVaRmethodcancalculatethemajorrisksforlifeinsurancecapitaltobeinvestedinthestockmarketinaneffectivewaythushelpingthemanagerstomanagethiskindofriskseffectivelyFinallyconcerningthecurrentstatusofChina’slifeins