Improving Risk Factor of Market Risk Capital Requirement in Solvency Model of Iranian Insurance Industry

Document Type : Original Article

Authors

1 Associate Professor in Commercial Management, Department of Accounting & Management, Allameh Tabataba'i University

2 Ph.D. in Financial Economics, Department of Life Insurance Supervision, Central Insurance of Iran

3 Ph.D. Student in Financial Management, Department of Accounting & Management, Allameh Tabataba'i University

Abstract

The main purpose of this paper is to present a more efficient method than the 69th act and previous studies, for determining risk factor of Market Risk Capital Requirement. In this regard, by using statistical data of TEPIX and Value at Risk (VaR) different approaches, we modeled the stock investment market risk in insurance companies without asset liability mismatching (ALM) risk. Next, by calculating duration gap of asset and liabilities, we calculated Market Risk Factor with (ALM) risk.
The findings indicate that first; Monte Carlo simulation based on the TGARCH model is more efficient than the other model and second; final market risk factor are calculated 34.2% and 36.8% for life and non-life insurance policies, respectively.

Keywords

Journal of Econometric Modelling
Volume 3, Issue 4
December 2018
Pages 59-84

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