A MATHEMATICAL ASSET AND LIABILITY MODEL OF IRANIAN INSURANCE COMPANIES

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MEHREGAN MOHAMMAD REZA; DAGHIGHI ASLI ALI REZA; GHALIBAF ASL HASAN; MALEKIAN LAYA

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Paper Information

Journal: IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH) Year:2012 | Volume:27 | Issue:1 (105) Page(s): 101-122

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Title

A MATHEMATICAL ASSET AND LIABILITY MODEL OF IRANIAN INSURANCE COMPANIES

Author(s)

MEHREGAN MOHAMMAD REZA | DAGHIGHI ASLI ALI REZA | GHALIBAF ASL HASAN | MALEKIAN LAYA | Issue Writer Certificate

Keywords

ASSET AND LIABILITY MANAGEMENTQ2

PLANNING GOALQ2

Abstract

ASSET AND LIABILITY MANAGEMENT are important strategic planning issues in financial institutions. The object of this paper is presenting ALM model for insurance companies which due to multiple, conflicting and complicated goals, we use goal planning. To reach this purpose, we choose an Iranian insurance company as a case study and then investigate financial statements and their relations with each other. In this model, we try to satisfy regulatory requirements in insurance companies and management goals such as achieving a certain market share and reduce loss ratio to a certain amount. We use Lingo and Matlab software to solve our model. The results of this model help optimize allocation of resources (investment optimization) and achieve optimum value in them (reach certain amount of premium at certain insurance lines).

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APA: Copy

MEHREGAN, MOHAMMAD REZA, DAGHIGHI ASLI, ALI REZA, GHALIBAF ASL, HASAN, & MALEKIAN, LAYA. (2012). A MATHEMATICAL ASSET AND LIABILITY MODEL OF IRANIAN INSURANCE COMPANIES. IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH), 27(1 (105)), 101-122. SID. https://sid.ir/paper/100917/en

Vancouver: Copy

MEHREGAN MOHAMMAD REZA, DAGHIGHI ASLI ALI REZA, GHALIBAF ASL HASAN, MALEKIAN LAYA. A MATHEMATICAL ASSET AND LIABILITY MODEL OF IRANIAN INSURANCE COMPANIES. IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH)[Internet]. 2012;27(1 (105)):101-122. Available from: https://sid.ir/paper/100917/en

IEEE: Copy

MOHAMMAD REZA MEHREGAN, ALI REZA DAGHIGHI ASLI, HASAN GHALIBAF ASL, and LAYA MALEKIAN, “A MATHEMATICAL ASSET AND LIABILITY MODEL OF IRANIAN INSURANCE COMPANIES,” IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH), vol. 27, no. 1 (105), pp. 101–122, 2012, [Online]. Available: https://sid.ir/paper/100917/en

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