A non-linear programming model for insurance company investment portfolio management in Nigeria

As the crucial mainstay for insurance industry to survive and develop, the insurance investment enables insurance companies to offset their possible underwriting losses and make a considerable profit. There have been many issues that affect the investment of Nigeria insurance companies. These include lack of investment vehicles, low rate of return on investment, unstable policies from the regulators and irrational investment portfolio. All these factors combined have restricted the development of Nigeria insurance industry. This study combined an 'expanded Lagrangian' function with a modified trust region method to propose a method for solving investment portfolio management problems of insurance companies. The proposed method was implemented on the portfolio management problems of a group of insurance companies. The study offers alternative solution to portfolio investment management by implementing best processes for minimising the risk for a given expected return, which is generally a non-linear function. It devised a means of asset allocation among a number of investment opportunities in achieving the investment objectives of insurance companies.