保险市场竞争日趋激烈，加强保险资金运用已成为保险公司的必然选择。随着保险资产管理公司的相继成立和保险资金的集中专业化管理，保险业投资管理水平显著提高。为了利用不断放宽的投资渠道，尽量获得与风险相匹配的高收益，我们仍须加强保险公司的投资研究。 本文根据保险资金的性质和政策规定,选取了资本市场上的沪深300指数、上证企债指数和上证国债指数作为资产配置品种。首先对这三个品种的收益率序列进行ARMA建模。为了更加精确的预测收益率，本文通过检验各序列的条件异方差性，再用GARCH模型对原模型作出必要的调整。然后用新模型预测整个投资期各子期间的收益率，结合VaR形成预测的风险调整收益RAROC。之后，由...The insurance market competition becomes more and more drastic, so it is the necessary alternative for Insurance Corporation to strength insurance funds management. With the foundation of the insurance management company and professional investment of insurance money, the level of investment management rises remarkable. To make better use of more channels, it becomes important to improve the abili...学位：经济学硕士院系专业：经济学院财政金融系_金融学(含保险学)学号：2005130099
