Aziz Ahmadzadeh - Insurance Research Center (IRC), Life Insurance Research Group, Tehran, Iran
Esmaeel Safarzadeh - Department of Economics, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran
Elham Atashak Maman - Department of Economics, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran

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.

Inflationary Environment, Insurance Companies, investment portfolio, Regulatory Restrictions, Value at Risk