Research on Integrated Risk of Insurance Company in My Country Based on R-vine Copula Model

Abstract

In today's rapid development of financial integration and economic globalization, my country's insurance companies are faced with a large number and complex types of risks. At the same time, the insurance industry occupies a position that cannot be ignored in the financial field. Its response to risks directly affects the development of the entire financial field. Therefore, it is important to study the internal relationship between the risks faced by insurance companies in my country and how to reduce the overall risk of the industry. This paper selects three indicators: the overall monthly loss ratio of the insurance industry, the monthly yield of the Shanghai Stock Exchange Treasury Bond Index, and the monthly yield of the Shanghai Composite Index to measure the three main risks faced by insurance companies in my country: insurance risk, credit risk and market risk. After a series of data processing and testing, the GARCH model and the R-vine Copula model were established, and the VaR values of the three indicators were calculated. The study found that the R R-vine copula model can accurately describe the relationship between the three risks, and various risks are related to each other in a standardized R-vine copula structure. Appropriate strategies are needed to reduce such risks.