A NEW PROBABILISTIC MODEL OF PORTFOLIO OPTIMIZATION BASED ON INSURER'S LIABILITY IN LIFE INSURANCE CONTRACTS

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SARBAZALIPOUR SAJEDEH; FALLAH AFSHIN

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Journal Paper

Paper Information

Journal: IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH) Year:2014 | Volume:28 | Issue:4 (112) Page(s): 55-80

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Title

A NEW PROBABILISTIC MODEL OF PORTFOLIO OPTIMIZATION BASED ON INSURER'S LIABILITY IN LIFE INSURANCE CONTRACTS

Author(s)

SARBAZALIPOUR SAJEDEH | FALLAH AFSHIN | Issue Writer Certificate

Keywords

PORTFOLIO MANAGEMENTQ2

OPTIMIZATIONQ2

LIFE INSURANCEQ2

Abstract

This paper proposes a new probabilistic model for portfolio OPTIMIZATION based on insurer's liabilities. This model satisfactorily takes into account the stochastic nature of insurer's paid and received amounts. We perform simulations and compare results with the well known Markowitz (1952) model. Global cost of gold and iron ore were used in order to show the model's efficiency in the real world. The results indicate an improved performance of the proposed model in comparison with the Markowitz model. In conclusion, we find the risk and return of assets for this model is more desirable for investments.

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APA: Copy

SARBAZALIPOUR, SAJEDEH, & FALLAH, AFSHIN. (2014). A NEW PROBABILISTIC MODEL OF PORTFOLIO OPTIMIZATION BASED ON INSURER'S LIABILITY IN LIFE INSURANCE CONTRACTS. IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH), 28(4 (112)), 55-80. SID. https://sid.ir/paper/100951/en

Vancouver: Copy

SARBAZALIPOUR SAJEDEH, FALLAH AFSHIN. A NEW PROBABILISTIC MODEL OF PORTFOLIO OPTIMIZATION BASED ON INSURER'S LIABILITY IN LIFE INSURANCE CONTRACTS. IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH)[Internet]. 2014;28(4 (112)):55-80. Available from: https://sid.ir/paper/100951/en

IEEE: Copy

SAJEDEH SARBAZALIPOUR, and AFSHIN FALLAH, “A NEW PROBABILISTIC MODEL OF PORTFOLIO OPTIMIZATION BASED ON INSURER'S LIABILITY IN LIFE INSURANCE CONTRACTS,” IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH), vol. 28, no. 4 (112), pp. 55–80, 2014, [Online]. Available: https://sid.ir/paper/100951/en

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