Performance measurement and insurance liabilities

A Plantinga*, C Huijgen

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

1 Citation (Scopus)

Abstract

In this article, the authors develop an attribution framework for evaluating the investment performance of institutional investors such as insurance companies. The model is useful in identifying the investment skills of insurance companies. This is accomplished by developing a dual benchmark for the investor that is focused toward the two objectives of the investor, namely the maximization of shareholder value and the protection of the value of the policyholders. For each objective, the authors develop a different benchmark portfolio, which are joined together to form the dual benchmark portfolio. As a result, their model achieves a balance between these two objectives and reduces agency costs.

Original languageEnglish
Pages (from-to)105-115
Number of pages11
JournalJournal of Portfolio Management
Volume27
Issue number3
DOIs
Publication statusPublished - 2001

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