{"title":"寿险行业绩效评估:资产负债视角","authors":"Alexander Braun, Florian Schreiber","doi":"10.3905/JFI.2020.1.102","DOIUrl":null,"url":null,"abstract":"Established risk-adjusted investment performance measures such as the Sharpe Ratio, the Sortino Ratio, 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 propose an Asset-Liability Sharpe Ratio, which is theoretically motivated, easy to estimate, incentive compatible, and conveys information that is not included in existing measures. TOPICS: Performance measurement, risk management Key Findings • Established risk-adjusted investment performance measures such as the Sharpe Ratio, the Sortino Ratio, 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 propose an Asset-Liability Sharpe Ratio, which is theoretically motivated, easy to estimate, incentive compatible, and conveys information that is not included in existing measures.","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"30 1","pages":"109 - 127"},"PeriodicalIF":0.0000,"publicationDate":"2020-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Performance Measurement in the Life Insurance Industry: An Asset-Liability Perspective\",\"authors\":\"Alexander Braun, Florian Schreiber\",\"doi\":\"10.3905/JFI.2020.1.102\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Established risk-adjusted investment performance measures such as the Sharpe Ratio, the Sortino Ratio, 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 propose an Asset-Liability Sharpe Ratio, which is theoretically motivated, easy to estimate, incentive compatible, and conveys information that is not included in existing measures. TOPICS: Performance measurement, risk management Key Findings • Established risk-adjusted investment performance measures such as the Sharpe Ratio, the Sortino Ratio, 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 propose an Asset-Liability Sharpe Ratio, which is theoretically motivated, easy to estimate, incentive compatible, and conveys information that is not included in existing measures.\",\"PeriodicalId\":53711,\"journal\":{\"name\":\"Journal of Fixed Income\",\"volume\":\"30 1\",\"pages\":\"109 - 127\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-07-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Fixed Income\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/JFI.2020.1.102\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Fixed Income","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/JFI.2020.1.102","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Performance Measurement in the Life Insurance Industry: An Asset-Liability Perspective
Established risk-adjusted investment performance measures such as the Sharpe Ratio, the Sortino Ratio, 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 propose an Asset-Liability Sharpe Ratio, which is theoretically motivated, easy to estimate, incentive compatible, and conveys information that is not included in existing measures. TOPICS: Performance measurement, risk management Key Findings • Established risk-adjusted investment performance measures such as the Sharpe Ratio, the Sortino Ratio, 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 propose an Asset-Liability Sharpe Ratio, which is theoretically motivated, easy to estimate, incentive compatible, and conveys information that is not included in existing measures.
期刊介绍:
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.