Investigating Risk Management Structure and Portfolio Management of Insurance Companies

Subject Areas : Financial Knowledge of Securities Analysis

Mirfeiz Fallah Shams ¹ , Zahra Mobaraki ²

1 - ندارد
2 - نویسنده مسئول و طرف مکاتبه

Received: 2009-10-02 Accepted : 2009-12-16 Published : 2009-09-23

Keywords: Risk, Return, Portfolio Management, Insurance Companies,

Abstract :

In this study, we consider the relationship between insurancecompanies' return and risk, risk-aversion or risk-taking of portfoliomanagers investing for insurance companies. It was examined by meansof P/E measure. The performance of insurance companies has beenstudied by applying combined portfolio performance measures. First, Themeasure of Sharp, Treynor, Jensen and P/E measure of Iranian insurancecompanies and central insurance were appraised in comparison withGhadir (irsnian Investment co. To test the hypotheses, we used the SPSS15 software. The results show:Portfolio managers investing for insurance companies are not risktaking.Insurance companies are risk-taking in comparison with Ghadirinvestment company and are neutral when compared with nationalinvesting companies.According to Sharp measure, portfolio managers investing forinsurance companies use the passive strategy in comparison with Market.According to Treynor measure, portfolio managers investing for Iraninsurance company are neutral, whereas portfolio managers investingcentral insurance company apply the active strategy meaningfully.According to Jensen measure, portfolio managers investing forinsurance companies are neutral in comparison with Market. On the basisof each studied measures, portfolio managers investing for insurancecompanies are neutral when compared with portfolio managers investingfor investment companies. Hence, the hypothesis was rejected.There is no meaningful relationship between investing portfolio returnand risk of Iran insurance companies.There is a meaningful relationship between investing portfolio returnand risk of central insurance companies