This paper applies a multiobjective goal programming (GP) model to define the profile of the most profitable insurers by focusing on 14 firm‐decision variables and considering different scenarios resulting from the exogenous change in interest rate and GDP per capita growth variables. We consider a detailed database of Spanish non‐life insurers over the period 2003–2012 taking into account two dimensions of insurers’ results: underwriting results and investment results. A prior econometric analysis is used to find out relevant relations among the variables. Next, a GP model is formulated on the basis of the relationships obtained. The model is tested in a robust environment, allowing changes in the coefficients of the objective functions, and for several scenarios regarding crisis/noncrisis situations and changes in interest rates. We find that having the stock organizational form, being an unaffiliated single company and maintaining low levels of investment risk, leverage, and regulatory solvency are recommended for result optimization. Growth and reinsurance utilization are not advisable for optimizing the results, whereas size should be positively emphasized even more in instability periods and when interest rates increase. The results also show that the optimal level of the diversification/specialization strategy depends on economic conditions. More specialization is advisable as negative changes in interest rates increase. However, we find that the optimal values of the diversification variable are higher for the crisis scenarios compared to the corresponding noncrisis scenarios, suggesting that diversification creates value in crisis. Further sensitivity analyses show the soundness of the conclusions obtained.

This paper combines reference point techniques and econometric analyses to provide the profile of non-life insurers that simultaneously optimize the strategic growth, profitability, and risk goals. The econometric analyses provide the relevant relations among the variables. Non-life insurers from 33 Organisation for Economic Co-operation and Development countries over a six-year period are analyzed. A cluster analysis allows forming groups of countries according to the non-life insurance penetration ratio. Several scenarios, which are characterized by the maturity of the market and the crisis/non-crisis situation, are studied. The results indicate that the highest level of profitability (growth) is linked to scenarios with a medium (low) level of maturity and booming times. They also show that the lowest level of risk that is representative of good performance is associated with scenarios where markets have a high level of maturity and crisis times. We find that a higher recommendable size is associated with more mature markets. The results also indicate that reinsurance utilization is linked to a crisis time. We additionally find that the recommendable level of capitalization differs significantly among scenarios.