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All Journal Jurnal Ilmiah Mahasiswa FEB
Hartanto, Randy Adianto Widyo
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Underwriting and Investment Portfolio Optimization for Insurance Company based on Markowitz Portfolio Selection (Study on BRINS General Insurance) Hartanto, Randy Adianto Widyo
Jurnal Ilmiah Mahasiswa FEB Vol. 9 No. 2
Publisher : Fakultas Ekonomi dan Bisnis Universitas Brawijaya

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Abstract

This study aimed to compare the performance of insurance portfolios based on Modern Portfolio Theory (MPT) and actual actively managed insurance portfolios. This study also compared the performance of a predictive insurance portfolio based on MPT and actual actively managed portfolio. A sample of the 32-month report of underwriting and investment performance in BRINS General Insurance was analysed using descriptive statistics, and Wilcoxon signed-rank test. This study found no significant difference between the performance of a portfolio based on MPT and the performance of the actual actively managed portfolio. However, the MPT based portfolio significantly underperformed compared to the actual actively managed portfolio when used predictively.Keywords: Modern Portfolio Theory, Insurance Portfolio, Underwriting Portfolio, Investment Portfolio.
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