A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry

Bilel Jarraya () and Abdelfettah Bouri

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Portfolio investment; Optimal asset allocation; Solvency; Expected return; Expected utility; Assets modeling; Risky assets; Risk free asset; Insurance companies. (search for similar items in EconPapers)
JEL-codes: G2 G22 G29 (search for similar items in EconPapers)
Date: 2013, Revised 2013
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Published in International Journal of Finance & Banking Studies 4.2(2013): pp. 30-44

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Journal Article: A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:53534

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