The Study On The Economic Capital Measurement And Allocation Of Market Risk In The Life Insurance Company

Investment is one of the main sources of income in the life insurance companies,the term of life insurance products is long,so life insurance companies should pay more attention to risk management.Economic capital is a common risk measurement and is used widely.Currently in the research of this area,the risk related measurement did not portray the changing correlation in the capital market,so the result is not accurate.At the same time,most of the research on the measurement and allocation of economic capital is static,and the results can not reflect the volatility and change of financial market.Therefore,the market risk measurement using the advanced SV model.The paper choose time varying copula to portray the changing trends of the risk’s correlation in the capital market,which can make the result more accurate.The allocation coefficient of economic capital is adjusted by adjusting the coefficient of the interaction between the changes of risk,and achieve the dynamic allocation of economic capital.The paper chooses the treasury bonds,corporate bonds,securities investment funds and stocks as the research objects,defines the situation where the return rates is less than the deposit interest in the same period as loss and calculate the economic capital.By comparing the previous research,the paper chooses more advanced SV-t model to match each return rate,applies MCMC technology in parameter estimation,catches the relationship among these risks with time varying copula and select Time varying T-Copulas the analytical tool,and calculates the economic capital of investment market risks in the life insurance company;for the economic capital allocation,the paper is not only consider the each assets investment ratio,but also takes into account the influence of other risk capital,based on the minimum risk residual model and adjusted the allocation coefficients,finally get the allocation result.The result shows that,for the economic capital measurement,time varying copula performs better than static copula in catching the relationship among these risks,improve the effectiveness of the model parameters and increasing the accuracy of economic capital measurement of investment market risk in the life insurance company.For the economic capital allocation,the paper considered the each assets investment ratio and the influence of other risk capital on the allocation results,by adjust the allocation coefficients,get the result of economic capital allocation under different confidence intervals,it can provide reference to the life insurance company under the current invest proportion.