مدلسازی توانگری مالی شرکتهای بیمه در طی زمان
محورهای موضوعی : اقتصاد سنجی مالی و روشهای کمّی
دانیال پشتدار
1
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فاطمه صراف
2
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قدرتالله اماموردی
3
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نوروز نورالهزاده
4
1 - گروه مالی، واحد تهران جنوب، دانشگاه آزاد اسلامی، تهران، ایران.
2 - گروه حسابداری، واحد تهران جنوب، دانشگاه آزاد اسلامی، تهران، ایران.
3 - گروه اقتصاد، واحد تهران مرکز، دانشگاه آزاد اسلامی، تهران، ایران.
4 - گروه حسابداری، واحد تهران جنوب، دانشگاه آزاد اسلامی، تهران، ایران.
کلید واژه: پارامتر متغیر زمان, توانگری مالی, ریسکهای سیستماتیک, ریسکهای غیرسیستماتیک, مدلهای میانگینگیری بیزین,
چکیده مقاله :
هدف: پژوهش حاضر بر اساس مدل ویلسون اقدام به مدلسازی توانگری مالی در شرکتهای بیمهای با استفاده از الگوی میانگینگیری بیزین نموده است.
روششناسی پژوهش: این پژوهش کاربردی است. بهمنظور دستیابی به هدف پژوهش، تعداد 27 شرکت بیمه پذیرفتهشده در بورس اوراق بهادار تهران طی سالهای 1385 الی 1401، انتخاب و اطلاعات آنها در برآورد مدل استفاده شده است.
یافتهها: بر اساس نتایج از میان مدلهای میانگینگیری بیزین، میانگینگیری پویای پارامتر متغیر زمان، میانگینگیری انتخابی پارامتر متغیر زمان، مدل میانگینگیری بیزین از بالاترین کارایی جهت شناسایی مهمترین متغیرهای مؤثر بر سطح توانگری مالی مورد ارزیابی قرار گرفته است. برایناساس 40 متغیر مؤثر بر توانگری مالی در مدل میانگینگیری بیزین وارد شدند و بر اساس احتمالهای پیشین 13 متغیر بهعنوان متغیرهای غیرشکننده شناسایی شدند. بر اساس نتایج مدل خودرگرسیون برداری ساختاری عامل افزوده پارامتر متغیر زمان، نااطمینانی تورم، نرخ ارز، تحریم، نسبت بدهی، نسبت کل بدهی به ارزش ویژه، نسبت بدهی بلندمدت به ارزش ویژه و بدهیهاي تعدیل شده به داراییهاي جاري در روند بلندمدت خود طی زمان تأثیر مثبت بر توانگری مالی و متغیرهای رشد اقتصادی، نسبت نقدینگی، بازده سرمایه در گردش، نسبت بازدهی سرمایه، کمک مازاد (از طریق بیمه اتکایی)، به مازاد و ثمر سرمایهگذاري در روند بلندمدت خود، تأثیر منفی بر توانگری مالی داشتند.
اصالت / ارزشافزوده علمی: بر اساس نتایج کلی کشش بلندمدت مابین توانگری مالی با متغیرهای پژوهش نسبت به کشش کوتاهمدت از میزان بالاتری برخوردار است که بیانگر میزان تأثیرگذاری شدیدتر این ریسکها بر ثبات شرکتهای بیمه است. تداوم این شدت این ریسکها میتواند موجبات ورشکستگی صنعت بیمه را فراهم آورد.
Objective: The present study models the financial solvency of insurance companies based on Wilson’s model using the Bayesian model averaging (BMA) approach.
Methodology: This applied research selects 27 insurance companies listed on the Tehran Stock Exchange from 2006 to 2022. The financial data of these firms are used to estimate the model.
Findings: Among the BMA models, the dynamic time-varying parameter averaging model, selective time-varying parameter averaging model, and Bayesian model averaging approach demonstrated the highest efficiency in identifying the most critical variables influencing financial solvency. Consequently, 40 variables were introduced into the Bayesian model averaging framework, of which 13 were identified as non-fragile variables based on prior probabilities. According to the results of the structural vector autoregression model with an augmented time-varying parameter factor, variables such as inflation uncertainty, exchange rate, sanctions, debt ratio, total debt-to-equity ratio, long-term debt-to-equity ratio, and adjusted liabilities to current assets positively impacted financial solvency over the long term. Conversely, economic growth, liquidity ratio, return on working capital, return on investment, reinsurance surplus, and investment yield negatively affected financial solvency in the long run.
Originality/Scientific Contribution: Overall, the findings indicate that the long-term elasticity between financial solvency and research variables is stronger than short-term elasticity, highlighting the severe impact of these risks on the stability of insurance companies. The persistence of such risks could potentially lead to the bankruptcy of the insurance industry.
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