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Publicação
Asset liability management
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Orientador(es)
Resumo(s)
Em Portugal, os primeiros modelos de Asset Liability Mangement foram desenvolvidos —
pelas companhias de seguros vida. Estes modelos geriam apenas o risco da taxa de juro,
assunto chave para as seguradoras.
Actualmente um modelo de Asset Liability Management tem como principal objectivo
estruturar a carteira de activos representativos da carteira de responsabilidades de uma
seguradora de modo a conseguir uma imunização tão perfeita quanto possível
relativamente ao risco financeiro gerado pelos movimentos do mercado, ao longo do
prazo de duração das responsabilidades.
Para estruturar a carteira de activos é necessário conhecer a estrutura de
responsabilidades.
O presente trabalho desenvolve um modelo investimento de forma a obter os retornos
acumulados de diferentes tipos de activos e um modelo de avaliação de
responsabilidades para projectar as responsabilidades futuras. Estas variáveis são
projectadas numa base estocástica, através de um conjunto de numerosos e diferentes
cenários, cada um deles com uma determinada probabilidade associada.
Depois de obtidas estas variáveis acumuladas ao fim de vinte e três anos, o horizonte
temporal considerado, aplica-se o modelo de selecção de carteiras de activos.
The first models of Asset Liability Management developed in Portugal we are put to reality thanks to the work done by life insurance companies. These models we are more concerned with the risk associated with the income tax, key element for the insurance companies. Nowadays, an Asset Liability Management model has as it's prime purpose the structuring of a portfolio of assets that can match the portfolio of liabilities on an insurance company so that it can be possible achieve a risk immunization as perfect as possible concerning the financial risk involved in the market oscillations, the duration associated with liabilities. In order to be possible to provide structure to the portfolio of assets, it is necessary to know the structure of liabilities. On the present paper it is developed an investment model, in order to be possible to obtain the accumulated returns on different types of assets, and a model to measure the liabilities. Both are used to provide projections on the future liabilities. These variables are projected on a stochastic basis, by means of a numerous set of different scenarios, each one of those with a certain probability associated. Once these accumulated variables are obtained at the end of a time spread of twentythree years, the time horizon in here considered, it is than applied the model for the selection of asset portfolios.
The first models of Asset Liability Management developed in Portugal we are put to reality thanks to the work done by life insurance companies. These models we are more concerned with the risk associated with the income tax, key element for the insurance companies. Nowadays, an Asset Liability Management model has as it's prime purpose the structuring of a portfolio of assets that can match the portfolio of liabilities on an insurance company so that it can be possible achieve a risk immunization as perfect as possible concerning the financial risk involved in the market oscillations, the duration associated with liabilities. In order to be possible to provide structure to the portfolio of assets, it is necessary to know the structure of liabilities. On the present paper it is developed an investment model, in order to be possible to obtain the accumulated returns on different types of assets, and a model to measure the liabilities. Both are used to provide projections on the future liabilities. These variables are projected on a stochastic basis, by means of a numerous set of different scenarios, each one of those with a certain probability associated. Once these accumulated variables are obtained at the end of a time spread of twentythree years, the time horizon in here considered, it is than applied the model for the selection of asset portfolios.
Descrição
Mestrado em Ciências Actuariais
Palavras-chave
selecção de carteira carteira de matching activos responsabilidades risco retorno esperado portfolio selection matching portfolio assets liabilities risk expected return.
Contexto Educativo
Citação
Rodrigues, Soraia Leonilde Coelho (2004). “Asset liability management”. Dissertação de Mestrado. Universidade Técnica de Lisboa. Instituto Superior de Economia e Gestão
Editora
Instituto Superior de Economia e Gestão