بررسي ساختار مديريت ريسك و مديريت پر تفوي شركتهاي بيمه (مطالعه موردي بيمه ايران و بيمه مركزي)

Investigating Risk Management Structure and Portfolio Management of Insurance Companies

In this study, we consider the relationship between insurance companiesʹ return and risk, risk-aversion or risk-taking of portfolio managers investing for insurance companies. It was examined by means of P/E measure. The performance of insurance companies has been studied by applying combined portfolio performance measures. First, The measure of Sharp, Treynor, Jensen and P/E measure of Iranian insurance companies and central insurance were appraised in comparison with Ghadir (irsnian Investment co. To test the hypotheses, we used the SPSS 15 software. The results show: Portfolio managers investing for insurance companies are not risk-taking. Insurance companies are risk-taking in comparison with Ghadir investment company and are neutral when compared with national investing companies. According to Sharp measure, portfolio managers investing for insurance companies use the passive strategy in comparison with Market. According to Treynor measure, portfolio managers investing for Iran insurance company are neutral, whereas portfolio managers investing central insurance company apply the active strategy meaningfully. According to Jensen measure, portfolio managers investing for insurance companies are neutral in comparison with Market. On the basis of each studied measures, portfolio managers investing for insurance companies are neutral when compared with portfolio managers investing for investment companies. Hence, the hypothesis was rejected. There is no meaningful relationship between investing portfolio return and risk of Iran insurance companies. There is a meaningful relationship between investing portfolio return and risk of central insurance companies