Investment management in life insurance is very important because of its specific features. Unlike other insurance policies, life insurance is long-term and focused mainly on return on investment. Also, due to the 85% participation of insurers in the surplus of interest, the surplus in a period has little income for the insurance company,but the insurance company has a guaranteed return on the deficit. In addition, high return is one of the main factors of insurance companies competition in marketing. Also, insurance companies need to make sure they have enough liquidity to fulfill their obligations. Despite the fundamental differences between life insurance and property and liability insurance, No 60 Central Insurance Regulations do not differentiate between the investment of the above insurance reserves. In this study, we designed a portfolio optimization model for life insurance investments. Accordingly, the Markov Switching Vector Auto Regressive based on ideal optimization with contrasting goals set with the actual performance of the company. Optimization has been made in the portfolio of life insurance based on Moalem Insurance Company from 2012 to 2016. Investment weights have been implemented by simulating the Markov Switching VAR model with optimization objectives including maximizing insurance returns, minimizing shortfall, maximizing policyholder returns and minimizing liquidity shortages. Based on the results, the ideal planning optimization model produces more returns than the actual returns of the insurance and performs better in other objectives. As a result, this approach can be used to optimize life insurance investment portfolios in insurance companies.
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