Optimization of investment portfolios for Peruvian insurance companies, life branch

Abstract

Financial volatility has led insurance companies to adopt mechanisms that minimize the risk of their investments, in order to obtain the expected return despite market uncertainty. Within this framework, this research aimed to analyze the investment portfolio of the life insurance sector in Peru, in order to implement a methodology for estimating the optimal portfolio, considering the regulatory scope. The research was descriptive, quantitative approach, and non-experimental and cross-sectional design. The population was made up of all the documents related to the composition of the investment portfolio of life insurance companies; while the sample consisted of reports prepared by the SBS, APESEG, as well as the query base "Insurance Statistical Bulletin", published by the SBS. The data collection technique used was documentary analysis, and the information gathering instruments were bibliographic records and a document analysis guide. It was found that it is appropriate to use VaR as a risk concept, instead of standard deviation, as well as to apply the Cash Flow Mapping (CFM) methodology for companies with fixed income. Therefore, it was concluded that for the optimization of the portfolios of for life insurance companies in Peru, the Cash Flow Mapping methodology must be applied, using VaR as a risk concept, in order to obtain a Modified Sharpe Ratio. that replaces the standard deviation by the VaR, for the measurement of financial risk.