Interest Rate Risk: An Evaluation of Duration Matching as a Risk-Minimizing Strategy for Property/Casualty Insurers

Topics:
Insurance
Tags:
Business Operations,
Casualty Actuarial Society,
Corporate Insurance,
Duration,
Insurance,
Insurance Company,
Interest Rate
Source:
Casualty Actuarial Society

FREE Registration is required

Overview: In this paper, the CAS Valuation, Finance and Investments Committee used Dynamic Financial Analysis to test the hypothesis that duration-matching of assets to a company's liability duration will yield an improved risk profile compared to longer or shorter investment strategies. Although the results varied by scenario tested, the overall conclusion was that duration matching does not appear to be the sole optimal strategy for most property casualty insurers.

(Is this item miscategorized? Does it need more tags? Let us know.)

Format: PDF | Size: 249KB | Date: Dec 2001 | Pages: 35

People who downloaded this item also downloaded

White Paper The Ins and Outs of SAS Data Integration Studio
White Paper The Discounted Cash Flow Approach
White Paper White Paper on Fair Valuing Property/Casualty Insurance Liabilities

Top results from Insurance

White Paper How Should Unemployment Benefits Respond to the Business Cycle?
White Paper Consolidation and Efficiency in the Financial Sector: A Review of the International Evidence
White Paper Market Discipline in Banking Reconsidered: The Roles of Deposit Insurance Reform, Funding Manager Decisions and Bond Market Liquidity
White Paper Deposit Insurance, Bank Incentives, and the Design of Regulatory Policy
White Paper Getting a Handle on Disability Claims

» View all Insurance listings

advertisement
advertisement
  • Click Here
  • Click Here
  • Click Here
advertisement

Returning users: Log In Here!

Already registered on BNET, TechRepublic, or ZDNet? Simply log in.

Free Membership: Sign Up Now!

Sign up for a free membership today and get instant and unlimited access to one of the largest databases of white papers, webcasts, and casestudies anywhere. Your FREE membership allows you to:

  • Download an unlimited amount of content, including classic and current white papers, case studies, webcasts and more
  • Track content on your chosen topics of interest
  • Receive targeted email alerts when your favorite content is added
  • Save content for future reading
  • Receive our member newsletter

When you register to access this directory, you become a member of BNET. In addition, you allow us to share your information with companies that produce products or services featured in the library--so that such companies may contact you with information and offers regarding their products and services. This enables us to keep the library a free service. As a directory registrant, you will receive a complimentary subscription to the BNET member newsletter, The BNET Report. You can unsubscribe from this newsletter at any time. By clicking the Sign up button, you indicate that you agree to our Terms and Conditions and have read and understand our Privacy Policy (updated).