Improving Risk Factor of Market Risk Capital Requirement in Solvency Model of Iranian Insurance Industry

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Mazloumi Nader; SAFARI AMIR; JAFARI REZA

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Journal Paper

Paper Information

Journal: JOURNAL OF ECONOMIC MODELING Year:2018 | Volume:3 | Issue:4 (11) Page(s): 59-84

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Information Journal Paper

Title

Improving Risk Factor of Market Risk Capital Requirement in Solvency Model of Iranian Insurance Industry

Author(s)

Mazloumi Nader | SAFARI AMIR | JAFARI REZA | Issue Writer Certificate

Keywords

Value at Risk (VaR)Q2

market riskQ2

Insurance CompaniesQ1

TGARCH modelQ1

Monte Carlo simulationQ2

Abstract

The main purpose of this paper is to present a more efficient method than the 69th act and previous studies, for determining risk factor of market risk Capital Requirement. In this regard, by using statistical data of TEPIX and Value at Risk (VaR) different approaches, we modeled the stock investment market risk in Insurance Companies without asset liability mismatching (ALM) risk. Next, by calculating duration gap of asset and liabilities, we calculated market risk Factor with (ALM) risk. The findings indicate that first; Monte Carlo simulation based on the TGARCH model is more efficient than the other model and second; final market risk factor are calculated 34. 2% and 36. 8% for life and non-life insurance policies, respectively.

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APA: Copy

Mazloumi, Nader, SAFARI, AMIR, & JAFARI, REZA. (2018). Improving Risk Factor of Market Risk Capital Requirement in Solvency Model of Iranian Insurance Industry. JOURNAL OF ECONOMIC MODELING, 3(4 (11) ), 59-84. SID. https://sid.ir/paper/393323/en

Vancouver: Copy

Mazloumi Nader, SAFARI AMIR, JAFARI REZA. Improving Risk Factor of Market Risk Capital Requirement in Solvency Model of Iranian Insurance Industry. JOURNAL OF ECONOMIC MODELING[Internet]. 2018;3(4 (11) ):59-84. Available from: https://sid.ir/paper/393323/en

IEEE: Copy

Nader Mazloumi, AMIR SAFARI, and REZA JAFARI, “Improving Risk Factor of Market Risk Capital Requirement in Solvency Model of Iranian Insurance Industry,” JOURNAL OF ECONOMIC MODELING, vol. 3, no. 4 (11) , pp. 59–84, 2018, [Online]. Available: https://sid.ir/paper/393323/en

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