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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | On the feasibility of insurers' investment policies |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Journal of Risk and Insurance |
| Publisher | Wiley-Blackwell |
| Geographical Reach | international |
| ISSN | 0022-4367 |
| Volume | 75 |
| Number | 1 |
| Page Range | 193 - 206 |
| Date | 2008 |
| Abstract Text | This article calls attention to a difficulty with insurers' investment policies that seems to have been overlooked so far. There is the distinct possibility that insurers cannot satisfy the demands of different stakeholders in terms of expected returns and volatility. While using the capital asset pricing model as the benchmark, this article distinguishes two groups of stakeholders that impose additional constraints. One is “income security” in the interest of current beneficiaries and older workers; the other is “predictability of contributions” in the interest of contributing younger workers and sponsoring employers. It defines the conditions for which the combination of these constraints results in a lack of feasibility of investment policy. Minimum deviation from the capital market line is proposed as the performance benchmark in these situations. |
| Digital Object Identifier | 10.1111/j.1539-6975.2007.00254.x |
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| Additional Information | Presented at the 27th SUERF Colloquium, Munich, 12-14 June 2008. The definitive version is available at www.blackwell-synergy.com |