Estimation of VaR in insurance companies listed on the Tehran Stock Exchange with RBC and EC approaches
نویسندگان
1 Department of Accountancy and Management, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran
2 Department of Economics, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran
3 Department of Accountancy and Management, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran
4 Department of Accountancy and Management, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran
doi
10.22075/ijnaa.2022.26472.3324چکیده
The capital level of insurance companies to meet shareholders' and the regulator's expectations is very important. This study was to estimate the VaR (Value at Risk) of insurance companies on the TSE (Tehran Stock Exchange) with RBC (Risk-Based-Capital) and EC (Economic Capital) approaches, nine insurance companies in TSE during 2011-2019 were selected. Historical simulation and MCS (Monte Carlo Simulation) methods were used to calculate VaR. In historical simulation, the probability of an insurance company's loss of more than 2.02\% of the asset value is 1\%. Meanwhile, the VaR obtained from MCS, at the confidence level of 99\%, VaR is 3.28\%. In CBA (Cost-Benefit-Analysis), the amount of capital desired by the shareholders is 1.25-1.3 of the existing capital. In SMR (Solvency Margin Ratio) the amount of capital desired by the regulator is 1.3 -1.4 of the existing capital. Finally, the target capital is 1.25-1.4 of the existing capital.
