student
employee
UDC 330.322
The main goal of the article is to establish asset management strategy of the insurance company. This article reviews theoretical base of active and passive approaches, methods for choosing appropriate strategies of assets management for insurance organizations, specific traits of insurance organizations as institutional investors and regulatory requirements of the Bank of Russia in investment domain. Using the method of Monte Carlo Simulation the comparative analysis of their productivity has been performed and quality indicators of investments management has been forecast. In this research the structure of assets is considered, their share in investment portfolio and commission expenses. Results of this research show that in the long-term perspective passive approach often demonstrates better risk-adjusted returns. In the following developing perspective of this research is considered to increase number of simulations, apply alternative yield management approaches, and analyze influence of macroeconomic factors on investment strategies.
active management, insurance company, investment portfolio, Monte Carlo Simulation, passive management, risky assets, simulation
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