A new probabilistic model of portfolio optimization based on insurer's liability in life insurance contracts

Sarbazalipour, S.; Fallah, A.

doi:10.22056/ijir.2013.04.03

Document Type : Original Research Paper

Authors

Department of Statistics, Imam Khomeini International University, Qazvin, Iran

https://doi.org/10.22056/ijir.2013.04.03

Abstract

In this article, a new probabilistic model is proposed to optimize the portfolio of assets based on the insurer's obligations. Unlike other existing models, the proposed model takes into account the randomness of the amount paid and received from policyholders and the return on assets. In order to evaluate the proposed model and compare it with the well-known model of Markowitz (1952), a simulation study has been designed and implemented to optimize the portfolio of assets. Also, to show the effectiveness of the proposed model in the real world, the data related to the global price of gold and iron ore have been used. The results indicate the acceptable efficiency of the proposed model, so that the amount of return and risk of assets during the investment period is more favorable for the proposed model.

Keywords

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Iranian Journal of Insurance Research

A new probabilistic model of portfolio optimization based on insurer's liability in life insurance contracts

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Volume 2, Issue 4 - Serial Number 6
October 2013
Pages 326-341

A new probabilistic model of portfolio optimization based on insurer's liability in life insurance contracts

Letters to Editor

Send comment about this article

Volume 2, Issue 4 - Serial Number 6October 2013Pages 326-341

Volume 2, Issue 4 - Serial Number 6
October 2013
Pages 326-341