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Medidas De Riesgo En La Gestión De Carteras De Vida Del Mercado Español

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Author Info

  • Inmaculada Domínguez

    (Universidad de Extremadura)

  • Manuela Bosch

    (Universidad de Barcelona)

  • Pierre Devolder

    (Université Catholique de Louvain)

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    Abstract

    The management of a life insurance portfolio or pension fund must take intoaccount the temporal evolution of its liabilities and its assets through some variables:the factors and returns. Their behaviour is analysed statistically and we deduce it to avector error correction model (VECM). Using the VECM obtained and by means ofsimulations different trajectories are generated, for each factors and returns, or scenarioswith an associated probability of occurrence. The risk measures, that we propose,analyse the assets and liabilities risk generated together in a dynamic and multiperiodicalprocess, and it is the main contribution of this paper. La gestión de carteras de vida de las compañías de seguros o de un fondo de pensiones debe tener en cuenta la evolución temporal de sus obligaciones y activos, a través del análisis de una serie de variables: factores y rendimientos. El comportamiento de estos es analizado, en este trabajo, estadísticamente y se modeliza mediante un vector de corrección de errores (VECM). A través de simulaciones, aplicando el VECM, se generan diferentes trayectorias, de cada una de los factores y rendimientos, las cuales denominamos escenarios con una probabilidad de ocurrencia asociada. Las medidas de riesgo que se proponen analizan el riesgo de activos y pasivos de forma conjunta, dinámica y multiperiódica, siendo todo ello la principal aportación del trabajo.

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    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2003-24.pdf
    File Function: Fisrt version / Primera version, 2003
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    Bibliographic Info

    Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2003-24.

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    Length: 31 pages
    Date of creation: Dec 2003
    Date of revision:
    Publication status: Published by Ivie
    Handle: RePEc:ivi:wpasec:2003-24

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    Related research

    Keywords: Gestión activos-pasivos; escenarios; medidas de riesgo; VaR Asset-liability management (ALM); scenario generation; risk measures; VaR;

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