The Application Of Copula-Garch-CVaR Method In Insurance Fund Investment

With the expansion of the insurance industry,the efficient investment of insurance funds has become an urgent problem for all major corporations.The ratio of our current investment in insurance funds is still in the primary period,not perfect,and the volatility in return on investment is clearly,but the total assets and the payouts is increasing,so stabilizing the return of investment and optimizing investment structure are related to the healthy development of insurance industry.In the study of traditional investment theory,we found that the hypothesis of yield generally obey normal distribution.However,the distribution of real yield has the characteristics of sharp and thick tail,obvious non-normal state,also the relationship between the return of each asset is not simple linear correlation.Therefore,the Garch model is introduced to simulate the marginal distribution of each asset yield,and the correlation between assets is solved by using the Copula function.Then we use Monte Carlo method to calculate the CVaR of every return on asset.Finally combining with Markowitz Mean-Variance Model to build investment model,so as to find out the optimal portfolio of insurance funds.