Prediction of Asset Returns in Iran's Insurance Industry: TVP-Graph and BSTS Approaches

Articles in Press

Document Type : Original Article

Authors

1 Professor, Faculty of Economic and Administrative Sciences, University of Mazandaran, Iran

2 PhD Student, Faculty of Economic and Administrative Sciences, University of Mazandaran. Iran

10.22075/jem.2025.37805.2009

Abstract

The insurance industry plays a vital role in economic stability and risk management. This study aims to forecast the return on assets (ROA) in Iran’s insurance sector using the Bayesian Structural Time Series (BSTS) model, while identifying key macroeconomic drivers via the TVP-Graph approach. Based on time-series data from 2011 to 2024, findings indicate that capital adequacy and financial leverage are the most influential factors on ROA, whereas unemployment has no significant effect. The 24-month forecast suggests relatively stable yet fragile financial performance, highlighting a high degree of uncertainty and the need for structural and policy reforms.

Keywords

Journal of Econometric Modelling

Articles in Press, Accepted Manuscript
Available Online from 04 September 2025

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