About us

• A laboratory
• The origins
• The project
• The working framework
• The working style
• Alef team

Activities

• IT Solutions
• Consultancy
• Certifications
• Education
• Trademarks

email -

Alef s.r.l.
Viale Regina Margherita, 169
00198 Roma

Tel. 06.8543602
Fax. 06.85352601

VAT Code 04295841003

A laboratory

A laboratory for financial economics, Alef produces solutions to the financial problems of public and private firms, banks and insurance companies.

The origins

Alef was started in 1991, with a course given in Pisa, at the Scuola Normale Superiore, in the framework of a high level educational project.

The project

Alef's project is based on research experience, IT software production, university courses teaching and consultancy activities of its members, both in the domestic and international environment. Alef's project helps companies comply with regulatory requirements, introducing mathematics and probability calculus in financial managerial control systems.

The working framework

Alef provides consultancy and produces dedicated solutions for

• valuation of financial products
• valuation of insurance contracts
• management of investment portfolios
• market risk management
• credit risk management
• design and management of pension funds
• asset-liability management for banks and insurance companies
• determination of the value of the business in-force and embedded value of insurance companies
• measurement of financial and technical risks in insurance portfo-lios and determination of the corresponding capital requirements (risk-based capitals).

Alef certifies

• the computational libraries
• the methods and techniques of financial valuation
• the value of structured financial contracts
• the value of options embedded in outstanding contracts and a series of figures typical in insurance companies valuation (e.g. value of in-force-business, embedded value, risk capital, etc.).

Alef produces data - estimating the parameters of market models - which feed the internal control models, the valuation procedures and the procedures for the control of financial risks.

The working style

The working style is a mix of theory, tailored IT solutions (routines, computations systems) and educational activities, with the goal of realizing the firm's standards as part of the culture and everyday operational practice of the firm.

Alef team

Alef is organized in a modular basis. The activities are lead by Massimo De Felice, Franco Moriconi, Gilberto Castellani, Carlo Mottura and Claudio Pacati.

• Massimo De Felice is full professor at the University of Roma "La Sapienza" (chair Financial mathematics)
• Franco Moriconi is full professor at the University of Perugia (chair Mathematical Models for Financial Markets)
• Gilberto Castellani is full professor at the University of Roma "La Sapienza" (chair Financial Portfolio Theory)
• Carlo Mottura is full professor at the University of Rome III (chair Financial mathematics)
• Claudio Pacati is professor at the University of Siena (chair Financial Mathematics).

Activities

IT Solutions

Alef produces and implements solutions (systems) composed of algorithms, computing libraries and databases. Past realizations include systems for

• asset-liability management and embedded value computation (Alleanza Assicurazioni, SAI, Cisalpina Previdenza, Reale Mutua)
• risk capital computation for financial and technical risk drivers in Life and P&C insurance (Fondiaria-SAI)
• valuation of index-linked policies (SAI and Roma Vita)
• expected return computation (Alleanza, Italiana, La Venezia, MAA Vita, Novara Vita, Piemontese, Po Vita, Reale Mutua, SAI, Sara, Roma Vita)
• control of risks of segregated fund portfolios (INA)
• design and management of pension funds with minimum guarantees (SAI and Fondiaria Assicurazioni)
• valuation of contracts with embedded options (Generali Asset Management)
• financial risks control (Omnitel)
• asset-liability management (Banca del Piemonte)
• portfolio management and control (Itainvest-SviluppoItalia)
• valuation of caps and floors (Sviluppo Finanziaria)
• postal saving bonds issue (Cassa Depositi e Prestiti)
• design and control of loans for public institutions (Cassa Depositi e Prestiti)

Consultancy

Alef has acted as a consultant for Alleanza Assicurazioni, ANIA, Banca del Piemonte, Banca di Roma, Cassa depositi e prestiti, Cisalpina Previdenza, Fondiaria Assicurazioni, Generali Asset Management, Gruppo Zurigo, Ibm-Semea, IMI, INA, INASgr, Isveimer, Itainvest, Mefop, Omnitel, Reale Mutua, RomaVita, SaceBT, SAI, Sviluppo Finanziaria, Towers-Perrin Tillinghast.

Since 1992 Alef has been a partner of the "Centro di Finanza Matematica" of the "Amici della Scuola Normale Superiore di Pisa" Association.
In 1993 and in 1994 has been a partner of Ibm Semea in developing dedicated IT solutions for banking.

Certifications

Alef has

• certified the value of portfolios of policies for SAI during its merging with Fondiaria
• certified the embedded value of the Gruppo SAI-Fondiaria
• been advisor in the liquidation of Isveimer loans in italian lire
• managed the restyling and liquidation of a pension fund of Isvmeir
• prepared for INA the 20F form documentation required by the Security Exchange Commission
• certified the embedded value for Cisalpina Previdenza
• valuated contracts with embedded options for INA Sgr, Generali Asset Management, Poste Vita and Roma Vita.

Education

As a partner of the "Amici della Scuola Normale Superiore di Pisa" Association has developed the software procedures for a series of courses:

• "The management of interest rate risks" (1992)
• "The management of financial risk in insurance" (1995)
• "Asset-liability management in banking" (1996)
• "Pension funds financial management" (1997)
• "Embedded value in life insurance" (2001-2002)
• "CPPI strategies in life insurance" (2004).

In 1999 Alef has produced an IT educational system named "Fare finanza, l'artigianato delle tecnologie", organized on a modular basis and aimed to transfer the financial and actuarial principles to banks financial firms and insurance companies. The modules present the theory, the implementation of the computational schemes and examples of applications to the market, the financial management and to the corporate governance.

During 2002, Alef IT educational technology has been used in "A Course on Finance of Insurance", sponsored by the Groupe Consultatif Actuariel Europeen and organized by the Italian Institute of Actuaries.

Trademarks

Alef is the proprietor of the IT software solutions

• IDS - Insurance data System®
• Alm-max®
• CredRisk®
• Equirate®
• Index®
• PreviComp®
• RendiPrev®

of the routine-library LibAlef®, of the data system DatAlef® and of the It educational system FareFinanza®.

Last revision: March 30, 2010