Investment policy statement : Lusitania non-life portfolio (excluding workman’s compensation)

• Autor(a) principal: Martins, Ana Catarina Emídio
• Data de Publicação: 2023
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.5/28068
• topic: Asset Management; Portfolio Theory; IPS; Mean Variance Theory; Cash-Flow Matching; Duration Matching; Monte Carlo Simulation; Insurance Company; Gestão de Activos; Teoria da Carteira; Teoria da Minima Variância; Monte Carlo; Seguradora

The Following Investment Policy Statement (IPS) report was written following the CFA Institute recommended format and considers the public information available until the 15th of May 2023, any available information after this date was not considered. Lusitania is an insurance company, founded in 1986, with 100% of Portuguese capital. Lusitania offers a wide range of products, including accidents, motor, housing, and health insurance. The stated objective of this IPS encompasses the creation of two distinct portfolios. The first portfolio aims to achieve immunization by funding the liabilities at the lowest possible cost. The second portfolio pursues optimization, targeting a minimum return of 2.5% above risk-free rate, while simultaneously maintaining volatility below 7.5%. It is crucial that the construction of these portfolios adheres rigorously to all specified restrictions, including exposure limits within asset classes. Additionally, all investments within the portfolios are denominated in euros, ensuring uniformity in currency denomination. The construction of these portfolios was executed, considering the limitations specified by Lusitania. Various strategies, such as duration and cash flow matching, were employed to attain the defined objectives, especially in the immunization portfolio. Sources, including Refinitiv, Lusitania Reports, and the JP Morgan “2023 Long Term Market Expectations” document, were consulted and utilized in the preparation of this report. The investment committee must deliver detailed risk data every quarter in addition to performance reports, such as Value at Risk.