Research Article
Optimization Problem of Insurance Investment Based on Spectral Risk Measure and RAROC Criterion
Table 1
Descriptive statistical analysis of risk assets.
| | | Chang’an Vehicle (000625) | JoinTo Energy (000600) | Yili (600887) |
| | Median | 0.196729 | 0.005992 | -0.070959 |
| | Maximum | 1.341006 | 1.124433 | 1.299169 |
| | Minimum | -1.631535 | -1.184555 | -1.196948 |
| | Standard deviation | 0.866075 | 0.632811 | 0.698381 |
| | Skewness | -0.545350 | -0.132884 | 0.049686 |
| | Kurtosis | 2.653994 | 2.993299 | 2.709674 |
| | J-B statistic | 0.545562 | 0.034779 | 0.039235 |
| | p value | 0.761260 | 0.982761 | 0.980574 |
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