A non-linear programming model for insurance company investment portfolio management in Nigeria

Emmanuel Olateju Oyatoye and Waheed Oladimeji Arilesere

International Journal of Data Analysis Techniques and Strategies, 2012, vol. 4, issue 1, 83-100

Abstract: As the crucial mainstay for insurance industry to survive and develop, the insurance investment enables insurance companies to offset their possible underwriting losses and make a considerable profit. There have been many issues that affect the investment of Nigeria insurance companies. These include lack of investment vehicles, low rate of return on investment, unstable policies from the regulators and irrational investment portfolio. All these factors combined have restricted the development of Nigeria insurance industry. This study combined an 'expanded Lagrangian' function with a modified trust region method to propose a method for solving investment portfolio management problems of insurance companies. The proposed method was implemented on the portfolio management problems of a group of insurance companies. The study offers alternative solution to portfolio investment management by implementing best processes for minimising the risk for a given expected return, which is generally a non-linear function. It devised a means of asset allocation among a number of investment opportunities in achieving the investment objectives of insurance companies.

Keywords: nonlinear programming models; insurance investment; portfolio management; expanded Lagrangian function; Joseph Lagrange; modified trust region; Nigeria; insurance companies; investment portfolios; underwriting losses; profits; investment vehicles; rates of return; unstable policies; regulators; irrational investments; risk minimisation; expected returns; nonlinear functions; asset allocation; investment opportunities; investment objectives; Oceanic Insurance Company; Lagos; Oceanic Life Assurance Company; Oceanic Health Insurance Company; data analysis techniques; data analysis strategies. (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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