| Summary: | 碩士 === 國立政治大學 === 金融學系 === 107 === The pressure for investment business of life insurance companies is more and more severe due to the declining interest rates and underwriting profit. The economic capital is a risk measurement method which allow companies use their own data and models to valuate risk. In this article, we take a Chinese life insurance company as an instance, selecting the treasury bonds, corporate bonds, securities investment funds and stocks as the research portfolio in investment risk. Then we use different types of GARCH(1,1) with skew student and normal distribution along with dynamic and static t-Copula and n-Copula model to measure the value at risk under different confidence levels and do backtesting in VaR. At last, we compare the result of these Copula models and find that the dynamic t-Copula performs better than others, therefore as the reference for the life company for further action in measuring Economic Capital.
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