EFFICIENCY EVALUATION OF THE ASSET ALLOCATION IN INSURANCE COMPANIES IN BRAZIL

• Autor(a) principal: Mette, Frederike
• Data de Publicação: 2009
• Outros Autores: Martinewski, André Luís
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: ConTexto
• Texto Completo: https://seer.ufrgs.br/index.php/ConTexto/article/view/11698
• topic: Insurance companies in Brazil. Optimizing the allocation of assets. The portfólio selection theory.; Companhias seguradoras no Brasil. Otimização na alocação de ativos. Teoria clássica de seleção de carteiras.

The main purpose of this work is to evaluate if the insurance companies in Brazil are optimizing their asset allocation for the period of 2001 to 2007. So, based on the investment portfolios of these companies and on Markowitz (1952) Portfolio Selection Theory, it is possible to evaluate the investments in all the asset area. In this way, this work illustrated the application of an asset evaluation model, very similar to the one proposed by Leal, Silva and Ribeiro in their article “Optimal Asset Allocation in Pension Funds” (2001), that, by simulating efficient frontiers, tries to consider the existence of estimation errors on the returns and covariances used as inputs on Markowitz (1952) Portfolio Selection Theory. The results have shown that, according to the applied methodology, the majority of these institutions allocated their assets efficiently during the studied period.