Study On Economic Capital Measurement And Asset Allocation In Property Insurance Company

At the end of December,2016,China's property insurance premium income has exceeded 770 billion yuan,accounting for about 27%of total premium income.However,there still exist some problems in property insurance industry,such as disequilibrium of business structure,the large proportion of auto insurance business.It has unique advantages in risk measurement and risk allocation.Many financial institutions companies have already adopted this method.Therefore,this thesis will try to study property insurance company's business lines,to build a economic capital management system for the insurance companies.This thesis can give practical advice about managing the integration risks and improving the structure of business lines.In this thesis,the Copula model is used to study the risk management of property insurance companies in China,using management process of economic capital.Firstly,it reviews the development process of China's property insurance market and discusses the existing problems in the industry.Then,it introduces the Copula model and the economic capital theory system,and explains the theoretical basis of the risk management system.It replaces traditional VaR model with TVaR model to improve the accuracy of the model,and considers the non-linear relationship between different business lines,when it studies economic capital measurement and capital allocation.In the end,this thesis takes PICC as an example to analyze economic capital and capital allocation,using data of six business lines from June 2003 to June 2016.Copula models and Monte Carlo simulation are used to calculate the economic capital,and then the results can be used to optimize the structure of business lines.The results show that:(1)there exists a correlation between the business lines,and the use of kernel density estimation can significantly improve the fitting effect;(2)Copula model can better reflect the effect of risk dispersion.If we don't consider the correlation between business lines,then we will overestimate economic capital;(3)insurance companies can adjust the business structure to reduce the company's operating risks and economic capital allocation,thereby improving capital efficiency.