基于VaR理论的保险投资风险研究-数量经济学专业论文.docxVIP

ABSTRACTThe ABSTRACT The insurance company is one of the most important participators in the capital market，and the capital manet has gradually become one of the important sources of profits for the insurance industry．Currently,the insurance funds have been allowed into the negotiable securities market． Involved in the construction of the infrastructure and the investment of the real estate．and the poly．investment makes the investment risk faced by the insurance industry increase dramatically．However,the efficient researches are very short in China on the insurance investment risk comparatively to abroad． The VaR model iS a major method of the risk measurement of financial market at present，and is applied to the analysis of investment combination，financial derivative，manet risks and credit risk extensively now．Therefore we try to introduce the most famous risk management VaR model of its keystone and calculating process，and do some demonstration analysis to the insurance capital investment in order to accelerate the application of the VaR model in the insurance capital investment in our country． Chapter l：Introducing the background of the choice for the thesis and the research significance；introducing the frame of the paper and the main contents． Chapter 2：The theoretical general introduction of the insurance investment．Introducing the basic conceptions of the insurance investment； stating the necessity of the insurance investment；analyzing the evolution of our countrys insurance investment，commenting on the present conditions of our countrys insurance investment． Chapter 3：Introduces the theory of VaR systematically including the computation techniques，the back test and three tools employed to II analyze analyze the risks of investment portfolio． Chapter 4：Getting a demonstrational research of evaluating the investment of insurance company in our country． Chapter 5：we apply the increment VaR method to measure the risk of an assumed investment portfolio，to explain