Investment Management for Insurers details all phases of the investment management process for insurers as well as fixed income instruments and derivatives and state-of-the-art analytical tools for valuing securities and measuring risk. Complete coverage includes: a general overview of issues, fixed income products, valuation, measuring and controlling interest rate risk, and equity portfolio management.
This book covers recent developments in the interdisciplinary fields of actuarial science, quantitative finance, risk- and asset management. The authors are leading experts from academia and practice who participated in Innovations in Insurance, Risk- and Asset Management, an international conference held at the Technical University of Munich in 2017.The topics covered include the mathematics of extreme risks, systemic risk, model uncertainty, interest rate and hybrid models, alternative investments, dynamic investment strategies, quantitative risk management, asset liability management, liability driven investments, and behavioral finance.This timely selection of topics is highly relevant for the financial industry and addresses current issues both from an academic as well as from a practitioner's point of view.
A comprehensive guide to investment guarantees in equity-linked life insurance Due to the convergence of financial and insurance markets, new forms of investment guarantees are emerging which require financial service professionals to become savvier in modeling and risk management. With chapters that discuss stock return models, dynamic hedging, risk measures, Markov Chain Monte Carlo estimation, and much more, this one-stop reference contains the valuable insights and proven techniques that will allow readers to better understand the theory and practice of investment guarantees and equity-linked insurance policies. Mary Hardy, PhD (Waterloo, Ontario, Canada), is an Associate Professor and Associate Chair of Actuarial Science at the University of Waterloo and is a Fellow of the Institute of Actuaries and an Associate of the Society of Actuaries, where she is a frequent speaker. Her research covers topics in life insurance solvency and risk management, with particular emphasis on equity-linked insurance. Hardy is an Associate Editor of the North American Actuarial Journal and the ASTIN Bulletin and is a Deputy Editor of the British Actuarial Journal.
Life insurers play a major role as institutional investors in the financial markets, and their investment behavior receives considerable attention from regulators, policyholders, and participants of financial markets. In this thesis, I examine the investment management of U.S. life insurers. The thesis is comprised of two essays. In the first essay, I study the effects of investment advisor use on life insurers' investment performance. Using a measure of investment performance that accounts for investment risk and regulatory constraints, I find that life insurers experience an economically and statistically significant increase in investment returns when they start using an investment advisor. The performance increase, however, disappears over time. The investment performance effect of an investment advisor is not observed for life insurers that continuously use an investment advisor nor life insurers that switch away from using an investment advisor during the sample period. The results are robust to potential selection issues and alternative explanations. In the second essay, I study a unique type of reinsurance, modified coinsurance, which enables life insurance companies to transfer their investment risk to the reinsurer. When this reinsurance is arranged with an unaffiliated reinsurer or with affiliated foreign reinsurers, it provides risk-based capital (RBC) relief for life insurers with risky assets. I find that life insurers using this RBC-relief reinsurance hold more risky bonds but less capital than life insurers that do not use this type of reinsurance. Our findings, however, are not free of endogeneity problems because life insurers are not randomly assigned to use RBC-relief reinsurance and a life insurer's investment and capital decisions are jointly determined based on their regulatory capital requirements. In future work, I will use exogenous shocks to the bonds that life insurers hold to identify the causality between a life insurer's use of RBC-relief reinsurance and its investment and capital decisions.
An evolving regulatory landscape and changing economic conditions continue to affect business organization and capital requirements in the global insurance industry, leading to new participants, new transactions, and new challenges. PLI's new Insurance and Investment Management M&A Deskbook provides attorneys with an essential reference to keep up with emerging trends in insurance and investment management M&A. The Deskbook covers topics such as acquisitions of public insurance companies, blocks of insurance business and private acquisitions; the regulatory environment of the insurance industry and the financial services industry; investment in the insurance industry by private equity and pension funds; and the expansion of insurance industry participants into emerging markets around the globe. The Deskbook also provides specific guidance for understanding Lloyd's of London and the M&A market for mutual life insurers.
Securitized Insurance Risk is one of the first books to focus exclusively on the convergence of the insurance and financial markets in risk management and the emergence of insurance risk as a non-correlated asset class. Written for insurers and investors alike, this book explores the opportunities available to forward-looking risk and investment managers. Chapters by prominent experts specifically address: the win-win principle behind securitizing insurance risk; current structures, including catastrophe bonds, structured notes, catastrophe options, and swaps; partnering financial market tools with traditional reinsurance programs; holding insurance risk, uncorrelated with stocks and bonds; pricing insurance risk instruments and evaluating basic risk; and regulatory and accounting concerns.
Value- and risk-oriented management is a holistic method of managing businesses. In this book both actuarial methods and methods pertaining to classical internal control and classical risk management are used. Therefore the approach taken is necessarily interdisciplinary. Indeed, there is a new dynamically developing field for actuaries as a result of the emphasis now on the measurement of risk. This book provides the required basic knowledge for this subject from an actuarial perspective. It enables the reader to implement in practice a risk management system that is based on quantitative methods. With this book, the reader will additionally be able to critically appraise the applicability and the limits of the methods used in modern risk management. Value-oriented Management of Risk in Insurance focuses on risk capital, capital allocation, performance measurement and value-oriented management. It also makes a connection to regulatory developments (for example, Solvency II). The reader should have a basic knowledge of probability and familiarity with mathematical concepts. It is intended for working actuaries and quantitative risk managers as well as actuarial students.
