Performance Measurement in the Life Insurance Industry: An Asset-Liability Perspective
Journal
Journal of Fixed Income
ISSN
1059-8596
Type
journal article
Date Issued
2021-01-01
Author(s)
Abstract
Established risk-adjusted investment performance measures such as the Sharpe, the Sortino or the Calmar Ratio have been developed with an exclusive focus on the mutual and hedge fund industries. Consequently, they are less suited for liability-driven investors such as life insurance companies, whose portfolio choice is materially affected by the substantial interest rate sensitivity of their long-term contractual obligations. In order to tackle this limitation, we introduce the Asset-Liability Sharpe Ratio, which is theoretically motivated, computable based on publicly-available data, incentive compatible, and relevant. Hence, it should be a valuable new tool for performance assessment in the life insurance industry.
Language
English
Keywords
Asset Management
Life Insurance
Risk-Adjusted Performance Measurement
Rank Correlation
HSG Classification
contribution to scientific community
Refereed
No
Publisher
Inst. Investor, Inc.
Volume
30
Number
3
Start page
109
End page
127
Subject(s)
Division(s)
Eprints ID
254472