【摘 要】
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Insurance companies measure and manage capital across abroad range of diverse investments.Thus there is a need for the aggregation of the losses from the various investments whose risk distributions v
【机 构】
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Department of Finance and Insurance in Economics and Management School,Wuhan University,Wuhan,Hubei,
论文部分内容阅读
Insurance companies measure and manage capital across abroad range of diverse investments.Thus there is a need for the aggregation of the losses from the various investments whose risk distributions vary.This article tentatively uses a conditional copula-GARCH model in order to measure the economic capital of investment risks of insurance enterprises in China.Use an insurance enterprise to explain how to measure the economic capital of investment risks.And the calculation process demonstrated that the economic capital using the copula-GARCH model is lower 22% than it at the assumption of complete correlation,which justifies the assertion that there is diversification between insurance investments.
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