Comparing Optimal and Realized Investment Portfolio of Insurance Companies: A Case Study of a High Inflation Environment
- سال انتشار: 1403
- محل انتشار: Iranian Economic Review Journal، دوره: 28، شماره: 2
- کد COI اختصاصی: JR_IER-28-2_006
- زبان مقاله: انگلیسی
- تعداد مشاهده: 153
نویسندگان
Insurance Research Center (IRC), Life Insurance Research Group, Tehran, Iran
Department of Economics, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran
Department of Economics, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran
چکیده
This study aims to determine the optimal portfolio of an insurer on six major assets, compare the results with the realized portfolio in a high inflation environment, and finally find the reasons for the differences observed. Using quarterly data from ۲۰۰۸-۲۰۲۰, the optimal portfolio was determined for the insurers of this environment using the Mean-CVaR method and imposing constraints on the regulator. Furthermore, we analyze the deviation and investigate the possible reasons for the gap by holding semi-structured interviews. Results show that the realized portfolio is significantly different from the optimal portfolio. The main reasons for this difference range from misappropriation of accounting standards in an inflationary environment, mass tax-exempt on some significant assets, inadequate knowledge of insurers’ investment managers on the existing instruments, and investment mismanagement due to the weakness of the corporate governance structure of insurers, to inadequate development of domestic financial markets.کلیدواژه ها
Inflationary Environment, Insurance Companies, investment portfolio, Regulatory Restrictions, Value at Riskاطلاعات بیشتر در مورد COI
COI مخفف عبارت CIVILICA Object Identifier به معنی شناسه سیویلیکا برای اسناد است. COI کدی است که مطابق محل انتشار، به مقالات کنفرانسها و ژورنالهای داخل کشور به هنگام نمایه سازی بر روی پایگاه استنادی سیویلیکا اختصاص می یابد.
کد COI به مفهوم کد ملی اسناد نمایه شده در سیویلیکا است و کدی یکتا و ثابت است و به همین دلیل همواره قابلیت استناد و پیگیری دارد.