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PROJECT

Asset Allocation Model in an insurance company

An insurance company asked us to propose efficient schemes for the investment of the reserves portfolio as a consultancy. This consultancy has been in force for more than 20 months

Approach

We propose a scheme using the Asset Allocation Model , with which we seek the best strategy for Seguros Alfa to distribute its investments in its assets, thus allowing it to smooth out any risk that may be generated, with the objective of reducing the impact of long-term risk.

Results

The insurance company has a tool that performs a portfolio yield projection to evaluate the risk it may run with its assets.

“ Reason is, and ought to be the slave of the passions ”
David Hume
“ Every problem in the calculus of variations has a solution, provided the word solution is suitably understood ”
D. Hilbert
“ We have found that where science has progressed the farthest, the mind has but regained from nature that which the mind has put into nature. We have found a strange foot–print on the shores of the unknown ”
Eddington
“ Applied mathematics is not a definable scientifc field but a human attitude ”
Courant
“ The simplicities of natural laws come through the complexities of the language we use for their expression ”
Eugene Wigne
“ The moment will come when the sun will shine only on a planet of free men, knowing only reason as their master ”
Codorcet
“ ..ten thousand years from now there can be little doubt that the most significant event of the 19th century will be judged as Maxwell’s discovery of the laws of electrodynamics ”
R. Feynman
“ Thus mathematics may be defined as the subject in which we never know what we are talking about, nor whether what we are saying is true ”
Bertrand Russell
“ Since all models are wrong the scientist cannot obtain a “correct” one by excessive elaboration. On the contrary following William of Occam he should seek an economical description of natural phenomena ”
G. Box
“ One cannot help having the gut feeling that a real understanding of our universe must somehow involve E_8 [a Lie group comprising a system of 240 vectors in 8–dimensional space] ”
Bertram Kostant
“ Just as the ability to devise simple but evocative models is the signature of the great scientist so overelaboration and overparameterization is often the mark of mediocrity ”
G. Box
“ Sometimes attaining the deepest familiarity with a question is our best substitute for actually having the answer ”
B.Greene
“ In truth mathematics can be called the Pleasure Garden of the myriad forms, the Erudite Ocean of Hundred Schools of Philosophy ”
Xu Guangpi
“ Mathematics is like sexual pleasure, orgasm, only lasting longer ”
André Weil
“ Applied mathematics is the bridge connecting pure mathematics with science and technology ”
Prager
“ In truth mathematics can be called the Pleasure Garden of the myriad forms, the Erudite Ocean of Hundred Schools of Philosophy ”
Xu Guangpi
“ I have finished a monument more lasting than bronze and higher than the royal structure of the pyramid ”
Scarf
“ Everything should be made as simple as possible, but not simpler ”
A. Einstein
“ Truth and Clarity are Complementary ”
Niels Bohr
“ It is the glory of science to be of no use…[its true aim]… is to honor of the human spirit ”
Carl Gustav Jacobi
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Asset Allocation Model in an insurance company