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Effets des réglementations sur la rentabilité et le risque des compagnies d'assurances iard
Author(s) -
Desrochers Jean,
Outreville J. François
Publication year - 1986
Publication title -
canadian journal of administrative sciences / revue canadienne des sciences de l'administration
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.347
H-Index - 48
eISSN - 1936-4490
pISSN - 0825-0383
DOI - 10.1111/j.1936-4490.1986.tb00432.x
Subject(s) - portfolio , profitability index , investment portfolio , actuarial science , welfare economics , business , economics , finance
La réglementation des sociétés d'assurances par les autorités de tutelle impose différentes contraintes aux gestionnaires. Il est difficile d'en apprécier les effets finaux si l'on ne dispose pas d'un modèle d'ensemble de l'entreprise. La rentabilité des compagnies d'assurances dépend de la gestion de l'actif et du passif du bilan, portefeuille déplacements et portefeuille d'assurances. La réglementation intervient pour poser des limites à ces choix sous forme de plafonds en pourcentages pour certains types de placements. Cette étude dans le contexte Canadien met en évidence le coǔt économique, en termes de risque et de rendement, d'une réglementation sur les placements . Abstract The control of insurance companies by the regulatory authorities imposes constraints on the manager's decisions. The companies' profitability is a function of the management of both assets and liabilities. Therefore it depends on the relative importance of the diverse lines of insurance ‐ the insurance portfolio ‐ and relative weight of the various assets ‐ the investment portfolio. Portfolio theory demonstrates that the total risk is a non‐linear combination of those component risks in a portfolio. This, in turn, determines the pursuit of the optimal portfolio structure, a structure defined by a minimal risk for a given level of profitability. With such a generalized portfolio model for insurance companies, one could simulate the consequences of the modification of any given regulation on either the assets or liabilities. The combination of risk level and profitability accessible to the companies vary as a function of markets constraints and regulations considered. It is therefore possible to demonstrate the effect, in terms of risk and return framework, of various regulations. The first section of this paper discusses the appropriate approach to the portfolio problem applied to insurance. The second section describes the data and the empirical results.