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2015, vol. 63, iss. 7-8, pp. 385-398
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Possibilities of creating optimal investment portfolio of insurance companies in Serbia
Mogućnosti kreiranja optimalnog investicionog portfolija osiguravajućih kompanija u Srbiji
aUniversity of Belgrade, Faculty of Economy, Department of Statistics and Mathematics, Serbia
bUniversity of Belgrade, Faculty of Economy, Department of Business Economics and Management, Serbia
cUniversity of Belgrade, Faculty of Economy, Department of Economic Policy and Development, Serbia
Project: The risks of financial institutions and markets in Serbia-microeconomic and macroeconomic approach (MESTD - 179005)
Strategic and tactical measures to overcome real sector competitiveness crisis in Serbia (MESTD - 179050)
Abstract
Owing the time gap between the premium collection and the benefit payments, insurance companies invest temporarily free funds of technical reserves and thus fulfill an important role of institutional investors. The paper deals with the analysis of the investment possibilities of insurance companies in Serbia in terms of the existing regulatory constraints and the financial market development level. The optimal portfolio of assets used to cover technical reserves of non-life insurers is constructed on the basis of the Markowitz portfolio theory. The results of the research support the hypothesis that quantitative investment rules lead to a narrowing of an efficient set of insurer's investment opportunities and to a deterioration of risk-return trade-off of their investments. Recommendations for improving the investment performance of non-life insurers are generated through the analysis of real investment portfolio at the level of the entire insurance sector, as well as of a specific insurance company. It is concluded that the availability of financial instruments and trends in their prices and yields primarily determine investment decisions of insurers in Serbia.
Sažetak
Zahvaljujući vremenskoj nepodudarnosti između naplata premija i isplata naknada za štete, osiguravajuće kompanije ulažu privremeno slobodna sredstva tehničkih rezervi i time ostvaruju važnu ulogu institucionalnih investitora. U radu se analiziraju mogućnosti investiranja osiguravajućih kompanija u Srbiji pri postojećim regulatornim ograničenjima i stepenu razvijenosti finansijskog tržišta. Na osnovama Markovićeve portfolio teorije, konstruisan je optimalan portfolio imovine koja služi za pokriće tehničkih rezervi neživotnih osiguravača. Rezultati istraživanja dokazuju hipotezu da kvantitativna ograničenja investicija dovode do sužavanja efikasnog skupa investicionih mogućnosti osiguravača i pogoršanja odnosa prinosa i rizika njihovih investicija. Kroz analizu realnog investicionog portfolija na nivou celokupnog sektora osiguranja, kao i konkretne osiguravajuće kompanije, generisane su preporuke za poboljšanje investicionih performansi neživotnih osiguravača. Zaključuje se da raspoloživost finansijskih instrumenata i kretanja njihovih cena i prinosa primarno opredeljuju investicione odluke osiguravača u Srbiji.
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