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A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry

Author

Listed:
  • Jarraya, Bilel
  • Bouri, Abdelfettah
Abstract
In recent years the financial markets known a rapid development and become more and more complex. So, many regulatory requirements, focused on banks as well as insurance sector, have been developed. These regulatory are concentrated essentially on business risk control and required capital to cover risks. These requirements have influenced the asset allocation issue in insurance industry. These requirements have influenced the asset allocation issue in insurance industry. This section is interested by this issue. In first time it highlights some research works in this issue. Then we will investigate the relation between Solvency and optimal asset allocation. Finally we will explore the principal used methods in modeling asset and in choosing the optimal portfolio composition.

Suggested Citation

  • Jarraya, Bilel & Bouri, Abdelfettah, 2013. "A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry," MPRA Paper 53534, University Library of Munich, Germany, revised 2013.
    • Handle: RePEc:pra:mprapa:53534
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Portfolio investment; Optimal asset allocation; Solvency; Expected return; Expected utility; Assets modeling; Risky assets; Risk free asset; Insurance companies.;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other

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