Publicação
Investment policy statement : Lusitania free portfolio
| Resumo: | Insurance companies are subject to several regulatory requirements. Investment policy statements not only help insurance companies to comply with all laws and regulations, but also to achieve their return objectives with commensurate risk levels. In this respect, this report presents a hypothetical investment policy statement (IPS) for the Portuguese insurance company - Lusitania. The return objectives of Lusitania are prudent and aligned with its risk appetite. The ASF and EIOPA set risk limits which directly affect Lusitania. The company is subject to major capital requirements due to the nature of the business it operates in. Therefore, its investment philosophy is focused on the long-term with the main aim of capital preservation. Assets are strategically invested based on the Mean Variance Theory such that the maximum return is obtained per unit of risk, and diversification requirements are met. The portfolio of Lusitania is specifically characterised by euro-centric investments determined through data from JP Morgan. Monte Carlo simulations are performed for risk analysis, with the VaR being the main measure of risk. The main themes of this IPS are about defining the optimal asset allocation mix, providing guidance on risk, and articulating how to carry out performance measurement; all whilst protecting the best interests of insurance policyholders |
|---|---|
| Autores principais: | Bissessur, Livesh |
| Assunto: | Monte Carlo Simulation Portfolio Choice Corporate Governance Insurance Companies Capital Requirements Financial Risk Risk Management Insurance Law Simulação de Monte Carlo Escolha de Carteira Governança Corporativa Companhias de Seguro Requisitos de Capital Risco financeiro gestão de risco financeiro Legislação de Seguros |
| Ano: | 2023 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | Insurance companies are subject to several regulatory requirements. Investment policy statements not only help insurance companies to comply with all laws and regulations, but also to achieve their return objectives with commensurate risk levels. In this respect, this report presents a hypothetical investment policy statement (IPS) for the Portuguese insurance company - Lusitania. The return objectives of Lusitania are prudent and aligned with its risk appetite. The ASF and EIOPA set risk limits which directly affect Lusitania. The company is subject to major capital requirements due to the nature of the business it operates in. Therefore, its investment philosophy is focused on the long-term with the main aim of capital preservation. Assets are strategically invested based on the Mean Variance Theory such that the maximum return is obtained per unit of risk, and diversification requirements are met. The portfolio of Lusitania is specifically characterised by euro-centric investments determined through data from JP Morgan. Monte Carlo simulations are performed for risk analysis, with the VaR being the main measure of risk. The main themes of this IPS are about defining the optimal asset allocation mix, providing guidance on risk, and articulating how to carry out performance measurement; all whilst protecting the best interests of insurance policyholders |
|---|