IDEAS home Printed from https://ideas.repec.org/a/jfr/jms111/v12y2021i3p32-43.html

Sources Allocation on Risk Performance of Egyptian Insurance Companies

Author

Listed:
  • Salah Mohamed Eladly

Abstract

The main objective of current paper was to investigate the relationship between sources allocations measured by (external sources to total assets- free investment and allocated investment to total assets) on risk performance measured by financial risk (standard deviation of return on equity) business risk (standard deviation of return on assets) using ARDL and GARCH model, using a sample of 19 Egyptian insurance companies over a 21 year period form 1999 ¨C 2019, the findings indicate that There is a significant negative linear relationships between the independent variable in terms of capital structure and assets structure on dependent variable standard deviation of return on equity (Y1) at a Significant level less than (0.05). Also there is a significant positive linear relationship between the independent variable in terms of assets structure and dependent variable standard deviation of return on assets (Y2) at a significant level less than (0.001). with regard to ARCH and GARCH result shows the There is a significant positive effect of the ARCH term, measured as the lag of the squared residual from the mean equation, and the GARCH term, Last period¡¯s forecast variance, at a significant level less than (0.05). It means that the high volatility in the conditional variance of standard deviation of return on assets y2. also The sum of the two parameters of: (¦Á+¦Â) in the GARCH model (1, 1) whether the random error are distributed according to normal distribution approaches the positive one, which indicates that the two conditions of non-negative variance, and the variance is not inflated are satisfied, and that Indication of the continuity of volatility shocks in the standard deviation of return on assets (Y2).

Suggested Citation

  • Salah Mohamed Eladly, 2021. "Sources Allocation on Risk Performance of Egyptian Insurance Companies," Journal of Management and Strategy, Journal of Management and Strategy, Sciedu Press, vol. 12(3), pages 32-43, August.
    • Handle: RePEc:jfr:jms111:v:12:y:2021:i:3:p:32-43
    DOI: 10.5430/jms.v12n3p32
    as

    Download full text from publisher

    File URL: https://www.sciedu.ca/journal/index.php/jms/article/view/20977/12972
    Download Restriction: no
    File URL: https://www.sciedu.ca/journal/index.php/jms/article/view/20977
    Download Restriction: no
    File URL: https://libkey.io/10.5430/jms.v12n3p32?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. David Cummins, J. & Sommer, David W., 1996. "Capital and risk in property-liability insurance markets," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 1069-1092, July.
    2. Jan Dhaene & Andreas Tsanakas & Emiliano A. Valdez & Steven Vanduffel, 2012. "Optimal Capital Allocation Principles," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 79(1), pages 1-28, March.
    3. Bielecki, Tomasz R. & Pliska, Stanley R. & Sherris, Michael, 2000. "Risk sensitive asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 24(8), pages 1145-1177, July.
    4. Gerald R. Jensen & Jeffrey M. Mercer, 2003. "New Evidence on Optimal Asset Allocation," The Financial Review, Eastern Finance Association, vol. 38(3), pages 435-454, August.
    5. Michael Kalkbrener, 2005. "An Axiomatic Approach To Capital Allocation," Mathematical Finance, Wiley Blackwell, vol. 15(3), pages 425-437, July.
    6. Roberto Casarin & Monica Billio, 2007. "Stochastic optimization for allocation problems with shortfall risk constraints," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 23(3), pages 247-271, May.
    7. Kang, Woo-Young & Poshakwale, Sunil, 2019. "A new approach to optimal capital allocation for RORAC maximization in banks," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 153-165.
    8. Nejat Capar & Ravi Chinta & Fiona Sussan, 2015. "Effects of International Diversification and Firm Resources on Firm Performance Risk," Journal of Management and Strategy, Journal of Management and Strategy, Sciedu Press, vol. 6(1), pages 10-20, February.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Wang, Wei & Xu, Huifu & Ma, Tiejun, 2023. "Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation," European Journal of Operational Research, Elsevier, vol. 306(1), pages 322-347.
    2. Wing Fung Chong & Runhuan Feng & Longhao Jin, 2023. "Holistic principle for risk aggregation and capital allocation," Annals of Operations Research, Springer, vol. 330(1), pages 21-54, November.
    3. Jaume Belles-Sampera & Montserrat Guillen & Miguel Santolino, 2023. "Haircut Capital Allocation as the Solution of a Quadratic Optimisation Problem," Mathematics, MDPI, vol. 11(18), pages 1-17, September.
    4. Pesenti, Silvana M. & Tsanakas, Andreas & Millossovich, Pietro, 2018. "Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018)," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 29-31.
    5. Koike, Takaaki & Chen, Cathy W.S. & Lin, Edward M.H., 2025. "Forecasting and backtesting gradient allocations of expected shortfall," Insurance: Mathematics and Economics, Elsevier, vol. 124(C).
    6. Enrique Calder'in-Ojeda & Yuyu Chen & Soon Wei Tan, 2026. "Capital allocation and tail central moments for the multivariate normal mean-variance mixture distribution," Papers 2601.00568, arXiv.org.
    7. Furman, Edward & Kye, Yisub & Su, Jianxi, 2021. "Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 153-167.
    8. Grechuk, Bogdan, 2023. "Extended gradient of convex function and capital allocation," European Journal of Operational Research, Elsevier, vol. 305(1), pages 429-437.
    9. Cosimo Munari & Stefan Weber & Lutz Wilhelmy, 2023. "Capital requirements and claims recovery: A new perspective on solvency regulation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(2), pages 329-380, June.
    10. Jilber Urbina & Miguel Santolino & Montserrat Guillen, 2021. "Covariance Principle for Capital Allocation: A Time-Varying Approach," Mathematics, MDPI, vol. 9(16), pages 1-13, August.
    11. Gabriele Canna & Francesca Centrone & Emanuela Rosazza Gianin, 2021. "Capital Allocation Rules and the No-Undercut Property," Mathematics, MDPI, vol. 9(2), pages 1-13, January.
    12. Kang, Woo-Young & Poshakwale, Sunil, 2019. "A new approach to optimal capital allocation for RORAC maximization in banks," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 153-165.
    13. Stephen J. Mildenhall, 2017. "Actuarial Geometry," Risks, MDPI, vol. 5(2), pages 1-44, June.
    14. Koike, Takaaki & Hofert, Marius, 2021. "Modality for scenario analysis and maximum likelihood allocation," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 24-43.
    15. van Gulick, Gerwald & De Waegenaere, Anja & Norde, Henk, 2012. "Excess based allocation of risk capital," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 26-42.
    16. Francesca Centrone & Emanuela Rosazza Gianin, 2025. "Capital Allocation Rules and Generalized Collapse to the Mean: Theory and Practice," Mathematics, MDPI, vol. 13(6), pages 1-14, March.
    17. Buch, A. & Dorfleitner, G., 2008. "Coherent risk measures, coherent capital allocations and the gradient allocation principle," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 235-242, February.
    18. Mohammed, Nawaf & Furman, Edward & Su, Jianxi, 2021. "Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 425-436.
    19. Takaaki Koike & Marius Hofert, 2020. "Modality for Scenario Analysis and Maximum Likelihood Allocation," Papers 2005.02950, arXiv.org, revised Nov 2020.
    20. Elisa Mastrogiacomo & Emanuela Rosazza Gianin, 2024. "Dynamic capital allocation rules via BSDEs: an axiomatic approach," Annals of Operations Research, Springer, vol. 336(1), pages 749-772, May.

    More about this item

    Keywords

    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jfr:jms111:v:12:y:2021:i:3:p:32-43. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jenny Zhang (email available below). General contact details of provider: http://jms.sciedupress.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.