Risk Analysis of Life Insurance Investment Under the Influence of Investor Emotion Based on CVaR-Copula Model
This study first explains the source of life insurance fund and its investment principles, and then conduct the risk analysis of life insurance fund investment based on above features.We consider the impact of investor emotion in the investment and measure the risk of life insurance fund investment based on CVaR-Copula model;then, we determine the optimal investment ratio in order to better manage the risk.Using a sample of Shanghai Composite index (SC index), Shanghai Stock Exchange index (SSE index) and SHIBOR from 843 market days, we compute the value of VaR, CVaR and optimal investment ratio of the combination of life insurance fund investment with CVaR-Copula model.The results suggest that life insurance fund investment should be primarily focused on bank deposit and national debt which are of relatively low risks;and taking into account the impact of investor emotion, stocks and foundations with high income can also be considered.We suggest to further optimize the investment structure of life insurance fund thus to balance the risk and profit.
investor emotion CVaR-Copula function life insurance fund investment combination
WANG Heyan XIE Jun
Department of Mathematics and Information Technologies, Guangxi University,Guang Xi, China,530004
国际会议
日本
英文
283-287
2017-07-01（万方平台首次上网日期，不代表论文的发表时间）