Document Type : Original Research Paper

Authors

• N. Mazlomi ¹
• J. Babajani ²
• R. Jafari ³

¹ Department of Business Management, School of Management and Accounting, Allameh Tabatabai University, Tehran, Iran

² Department of Accounting, School of Management and Accounting, Allameh Tabatabai University, Tehran, Iran

³ Department of Financial Management, School of Management and Accounting, Allameh Tabatabai University, Tehran, Iran

Abstract

The main purpose of this article is to determine the level of capital that can meet the conflicting expectations of shareholders and the supervisory body. In this regard, using statistical data, the loss coefficients for the period 1370-1396 of four insurance companies "A", "B", "C" and "D" and based on the instructions for calculating the required capital, the required capital from the perspective of the supervisor, with The value at risk method (variance-covariance parametric method) is used and calculated in the form of internal modeling. Then, based on the cost of capital method and based on the risk margin and cost-benefit method, the optimal capital was determined for insurance companies both from the point of view of the central insurance and from the point of view of the shareholders. The results indicate that the optimal available capital for four insurance companies A, B, C and D is about 130,069, 35,478, 20,897 and 13,177 billion Rials, respectively, and the ratio of minimum and balance financial prosperity is about 164.4%, 164.9%, respectively. 241.2% and 120.9% were estimated to meet both the expectations of shareholders (return on capital) and the buyers of shares of these companies (the cost of providing required capital) and the expectations of the Central Insurance of Iran (required capital) as an insurance supervisor.

Keywords

• Value at Risk (VaR)
• Solvency
• Risk Margin
• Cost-Benefit
• Optimal Available Capital