Analysis and Application of the ARCH Effect of Life Insurance Premium in China
This paper is aimed at studying and analyzing the nature of volatility and clustering (ARCH model) of life insurance premium in China.With the conclusion that life insurance premium obeys ARCH (1) model,the paper analyzes its reasons from the perspective of empirical research and theory respectively.Firstly,the authors analyze the correlation between life insurance market and financial market by using Granger Causality and Co-integration theory.Then the paper studies the transmission mechanism of ARCH effect by using the economic theory.In the end,the authors apply ARCH model to forecast life insurance premium and obtains more accurate results.
life insurance premium ARCH effect transmission mechanism forecast
ZHANG Shuai SHEN Hai
School of Insurance,Central University of Finance and Economics,Beijing
国内会议
北京
英文
320-326
2011-07-24（万方平台首次上网日期，不代表论文的发表时间）