Portal de Periódicos da CAPES

Possibilities of creating optimal investment portfolio of insurance companies in Serbia

2015; Volume: 63; Issue: 7-8 Linguagem: Inglês

10.5937/ekopre1508385k

2406-1239

Jelena Kočović, Blagoje Ž. Paunović, Marija Jovović,

Regional Development and Management Studies

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.