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Ahmadzadeh, Aziz, Safarzadeh, Esmaeel, Atashak Maman, Elham. (1401). Comparing Optimal and Realized Investment Portfolio of Insurance Companies: A Case Study of a High Inflation Environment. , (), -. doi: 10.22059/ier.2022.88416
Aziz Ahmadzadeh; Esmaeel Safarzadeh; Elham Atashak Maman. "Comparing Optimal and Realized Investment Portfolio of Insurance Companies: A Case Study of a High Inflation Environment". , , , 1401, -. doi: 10.22059/ier.2022.88416
Ahmadzadeh, Aziz, Safarzadeh, Esmaeel, Atashak Maman, Elham. (1401). 'Comparing Optimal and Realized Investment Portfolio of Insurance Companies: A Case Study of a High Inflation Environment', , (), pp. -. doi: 10.22059/ier.2022.88416
Ahmadzadeh, Aziz, Safarzadeh, Esmaeel, Atashak Maman, Elham. Comparing Optimal and Realized Investment Portfolio of Insurance Companies: A Case Study of a High Inflation Environment. , 1401; (): -. doi: 10.22059/ier.2022.88416

Comparing Optimal and Realized Investment Portfolio of Insurance Companies: A Case Study of a High Inflation Environment

Iranian Economic Review
مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 14 مرداد 1401
شناسه دیجیتال (DOI): 10.22059/ier.2022.88416
نویسندگان
Aziz Ahmadzadeh1؛ Esmaeel Safarzadeh* 2؛ Elham Atashak Maman2
1Insurance Research Center (IRC), Life Insurance Research Group, Tehran, Iran
2Department 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 and 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 2008-2020, 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.
کلیدواژه‌ها
Keywords: Investment Portfolio؛ Insurance Companies؛ Value at Risk؛ Inflationary Environment؛ Regulatory Restrictions. JEL Classification: G11؛ G22
آمار
تعداد مشاهده مقاله: 491


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