A New Model for Measuring Return Risk of Insurance Industry Index Based on Markov Approach

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ZOLFAGHARI MEHDI; Faghihian Fatemeh

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ISSN: 2588-4824

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Paper Information

Journal: IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH) Year:2019 | Volume:34 | Issue:3 (135) Page(s): 65-93

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Title

A New Model for Measuring Return Risk of Insurance Industry Index Based on Markov Approach

Author(s)

ZOLFAGHARI MEHDI | Faghihian Fatemeh | Issue Writer Certificate

Keywords

Value at Risk (VaR)

Solvency

Insurance Companies

Market Risk and ARDL-GARCH Model

Abstract

Objective: The main purpose is to design a comprehensive and practical model for calculating the market risk of the insurance industry index in the stock market. This study is also aimed to test the behavior of the index for regime transitions in different time periods. Methodology: The “ Value at Risk” approach by combining the Markov regime process in body of the GARCH family models was used in this study. Findings: The return risk of the insurance industry follows the regime transfers and has both feedback and leverage effects. Furthermore, the regime behavior of this industry is based on the 􀝐 distribution function and is transmitted between regimes with different probabilities. Conclusion: The six-step model developed in this study has the capability to consider regime transitions, leverage effect, and feedback effect based on the symmetric and asymmetric distribution functions. The proposed model has more power than the conventional models in measuring the risk index of the insurance industry index.

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APA: Copy

ZOLFAGHARI, MEHDI, & Faghihian, Fatemeh. (2019). A New Model for Measuring Return Risk of Insurance Industry Index Based on Markov Approach. IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH), 34(3 (135) ), 65-93. SID. https://sid.ir/paper/652473/en

Vancouver: Copy

ZOLFAGHARI MEHDI, Faghihian Fatemeh. A New Model for Measuring Return Risk of Insurance Industry Index Based on Markov Approach. IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH)[Internet]. 2019;34(3 (135) ):65-93. Available from: https://sid.ir/paper/652473/en

IEEE: Copy

MEHDI ZOLFAGHARI, and Fatemeh Faghihian, “A New Model for Measuring Return Risk of Insurance Industry Index Based on Markov Approach,” IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH), vol. 34, no. 3 (135) , pp. 65–93, 2019, [Online]. Available: https://sid.ir/paper/652473/en

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