Calculating risk coefficients in solvency of insurance companies using value at risk

Gharakhani, M.; Majedi, Z.

doi:10.22056/ijir.2013.04.06

Document Type : Original Research Paper

Authors

M. Gharakhani ¹
Z. Majedi ²

¹ Department of Actuarial Science, University of Qom, Qom, Iran

² Department of Actuarial Science, Allameh Tabatabai University, Tehran, Iran

https://doi.org/10.22056/ijir.2013.04.06

Abstract

In this article, the asset risk of insurance institutions is investigated in two sectors of investment in the stock exchange and real estate. To calculate the risk of investing in stocks, the daily data of the total price index of the Tehran Stock Exchange and Securities Market for the years 2014-2018 have been used. Also, to calculate the risk of investing in real estate, the monthly data of the rental housing rent index in the urban areas of Iran for the years 2010-2018 have been used.
In this article, the characteristics of the data distribution have been identified and the amount of value at risk has been estimated. In order to check the quality of the estimates made, the data from 2018-2019 was used to perform a retrospective test, which showed that the EGARCH model had high accuracy and performance compared to other methods. Also, in the investigation, it has been determined that there is a calendar effect in the market and by adjusting this effect, the value at risk will decrease by 23%.

Keywords

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Iranian Journal of Insurance Research

Calculating risk coefficients in solvency of insurance companies using value at risk

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Volume 2, Issue 4 - Serial Number 6
October 2013
Pages 368-384

Calculating risk coefficients in solvency of insurance companies using value at risk

Letters to Editor

Send comment about this article

Volume 2, Issue 4 - Serial Number 6October 2013Pages 368-384

Volume 2, Issue 4 - Serial Number 6
October 2013
Pages 368-384