Naslov
Investment Portfolio Structure and Profitability of Croatian Insurance Companies

Autori
Pavković, Ana

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, neobjavljeni rad, znanstveni

Skup
23rd Young Statisticians Meeting (YSM 2018)

Mjesto i datum
Balatonfüred, Mađarska, 12.10.2018. - 14.10.2018

Vrsta sudjelovanja
Pozvano predavanje

Vrsta recenzije
Nije recenziran

Ključne riječi
asset allocation ; cluster analysis ; financial regulation ; insurance ; panel data model

Sažetak
Insurance companies have always been strictly regulated owing to the nature of their business. As financial intermediaries, they mobilize long term savings and allocate them conservatively, guided primarily by the safety principle instead of the profitability principle. Main aim of this research is to investigate the structure of the investment portfolios of Croatian insurers and to quantify the link between asset allocation and profitability of insurance companies, firstly in the period of strict regulation, and then after the introduction of Solvency II. Econometric research includes three analyses: cluster analysis, panel data analysis and comparison of pre-Solvency II and Solvency II business results. Cluster analysis is employed for classification of insurers according to their investment strategies and its results help in predicting the changes in asset allocation that financial reregulation is expected to bring. The results of panel data analysis reveal that investing in riskier categories positively affects the business results, while the investment in debt securities does not encourage profit growth. The analysis contributes to the existing empirical research on the asset allocation- profitability-nexus and is valuable for assessing the impact of Solvency II regulations.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA