شناسایی نحوه عملکرد ریسک‌های سیستماتیک بر توانگری مالی صنعت بیمه در طی زمان

نویسندگان
حبیب شیرافکن لمسو
امیر غلامی
سیدمهدی احمدی
دانشگاه آزاد اسلامی،واحد تهران شمال
چکیده
هدف تحقیق حاضر مدل‌سازی ریسک‌های سیستماتیک مؤثر برتوانگری مالی در صنعت بیمه است. این تحقیق از نوع تحقیقات کاربردی است. بازه زمانی تحقیق 11 ساله (1400-1390) هست. برای این منظور، اطلاعات 14 ریسک سیستماتیک مؤثر بر توانگری مالی شرکت‌های بیمه وارد مدل‌های میانگین‌گیری پویا، انتخابی و بیزین شدند. بر اساس میزان خطا، مدل میانگین‌گیری بیزین از میان مدل‌های منتخب از بالاترین دقت برخوردار بودند. پس از برآورد مدل، 5 ریسک رشد اقتصادی، نااطمینانی تورم، نرخ ارز، تحریم، شاخصKOF منتخب شدند؛ همچنین بر اساس نتایج مدل TVPFAVAR ارزیابی گردید که شوک تأثیر متغیرهای منتخب در بازه زمانی بلندمدت قوی‌تر از بازه کوتاه‌مدت هستند که این امر بیانگر بزرگ‌تر بودن کشش توانگری مالی نسبت به تغییرات متغیرهای ریسک سیستماتیک نسبت به کشش‌های کوتاه‌مدت است. بر اساس نتایج رشد اقتصادی و شاخصKOF درروند کلی تأثیر مثبت و متغیرهای نااطمینانی تورم، نرخ ارز و تحریم تأثیر منفی بر توانگری مالی دارند.
کلیدواژه‌ها
توانگری مالی
بیمه
ریسک سیستماتیک
مدل‌های بیزین

عنوان مقاله English

Identifying the Function of Systematic Risks on the Financial Prosperity of the Insurance Industry over Time

نویسندگان English

Habib Habib Shirafken Lamso
Amir Gholami
Seyyed Mehdi Ahmadi
Islamic Azad University,North Tehran Branch
چکیده English

This research aims to model the effective systematic risks of financial recovery in the insurance industry. This research is a type of applied research. The period of research is 11 years (1400-1390). For this purpose, the information on 14 systematic risks affecting the financial solvency of insurance companies was entered into dynamic, selective, and Bayesian averaging models. Based on the error rate, the Bayesian averaging model had the highest accuracy among the selected models. After estimating the model, 5 economic growth risks, inflation uncertainty, exchange rate, sanctions, and KOF index were selected; Also, based on the results of the TVPFAVAR model, it was assessed that the impact shock of the selected variables in the long-term period is stronger than the short-term period, which indicates that the elasticity of financial prosperity is greater than the changes in systematic risk variables compared to the short-term elasticity. Based on the results of economic growth and the KOF index, the positive effect and uncertainty variables of inflation, exchange rate, and sanctions hurt financial wealth in the general trend.

کلیدواژه‌ها English

Financial Wealth
Insurance
Systematic Risk
Bayesian models
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