Investigating the effect of risk on the return of the insurance industry in the Iranian economy using generalized conditional autoregression models, ARIMA-GARCH / TARCH and beta coefficient

Advances in Mathematical Finance and Applications

مقاله 9، دوره 8، شماره 2، مرداد 2023، صفحه 497-512   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2022.1957270.1737

نویسندگان

Abedin Saeidikia¹؛ Dariush Hassanvand^{* 2}؛ Reza Maaboudi³؛ Farhad Tarahomi⁴

¹Ph.D. Student, Department of Economics, Aligudarz Branch, Islamic Azad University, Aligudarz, Iran.

²Assistant Professor, Department of Economics, Faculty of Management and Economics, Lorestan University, Khorramabad, Iran.

³Assistant Professor, Faculty of Humanities, Department of Economics, Ayatollah Ozma Borujerdi University.

⁴Post Doctorate in Economics, Faculty of Social and Economic Sciences, Al-Zahra University, Tehran, Iran.

چکیده

Objective: A study of the movement of the insurance industry returns shows that the movement of income returns was less than the movement of the insurance industry. The movements of lower income returns than the movements of paid losses of the insurance industry in the economy are due to various variables, including the management of the insurance industry, part of which is due to risk recognition. Which helps managers in the insurance industry, to the extent of tolerable and intolerable risks in the acceptance or non-acceptance of various swimming risks, and by managing them play an important role in marketing and increasing the demand for insurance and in general, In line with the optimal growth of the insurance industry.
Methodology: This study, using generalized conditional autoregression models, ARIMA-GARCH / TARCH and beta coefficient, has evaluated the impact of risk on the return of the insurance industry in the Iranian economy during the period 1350-1398.
Results: The results showed that there is a significant relationship between the study of the impact of risk on the return of Basma industry. Also in this research, systematic risk has been investigated using the beta coefficient method. Since the result of the impact of risk on the return on income of the insurance industry is 67%. Because the obtained beta coefficient is less than one and greater than zero. This result indicates that the income of the insurance industry is smaller than the general trend of market movement and risk aversion

کلیدواژه‌ها

Risk؛ insurance industry؛ trend movement of returns؛ beta coefficient

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