A Model for the Investment Portofolios of Insurance Companies
Abstract
This paper aims to develop a model for efficient management of investment portfolios of insurance companies on the Romanian market, considering the legal regulations applicable to these portfolios. In solving the optimization problem, the Kuhn-Tacker multiplier method was used applied to a portfolio composed of four types of assets. The results obtained indicate that insurance companies should invest primarily in stocks and government bonds and invest less in bank deposits and real estate. At the same time, the model provides an algorithm for generating efficient portfolios in the performance of the return that insurance companies aim to achieve.
Fields of Study & Subjects
Risk and Portfolio Optimization
Financial Analysis and Corporate Governance
Insurance and Financial Risk Management
Publication details
- Journal / source
- Ovidius University Annals Economic Sciences Series
- Volume
- 25
- Issue
- 2
- Pages
- 709–715
- Publication date
- 10 February 2026
- Language
- EN