Investment Management for Insurers

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.

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale Universitys School of Management.

About the Editors.

Preface.

SECTION I: GENERAL ISSUES.

1. Risk Management by Insurers: An Analysis of the Process (D. Babbel and A. Saneomero).

2. Components of Insurance Firm Value, and the Present Value of Liabilities (D. Babbel).

3. A Performance Measurement System for Insurers (D. Babbel, et al.).

4. Asset Allocation for Property and Casualty Insurers (B. Tran).

SECTION II: FIXED INCOME PRODUCTS.

5. Treasuries, Agency Debentures, Corporates, MTNs, Municipals, and Eurobonds (F. Fabozzi).

6. Mortgage-Backed Securities and Asset-Backed Securities (F. Fabozzi).

7. Interest Rate Derivatives (F. Fabozzi).

8. Credit Derivatives (M. Anson).

9. Catastrophe-Liked Securities (S. Ganapati, et al.).

SECTION III: VALUATION.

10. Interest Rate Models (O. Cheyette).

11. The Four Faces of an Interest Rate Model (P. Fitton and J. McNatt).

12. Valuing Path-Dependent Securities: Some Numerical Examples (C. Howard).

13. Problems Encountered in Valuing Interest Rate Derivatives (Y. Pierides).

14. Speeding Up the Valuation Process (F. Albert, et al.).

SECTION IV: MEASURING AND CONTROLLING INTEREST RATE RISK.

15. Fixed Income Risk (R. Kahn).

16. Term Structure Factor Models (R. Kuberek).

17. Effective and Ineffective Duration Measures for Life Insurers (D. Babbel).

18. Yield Curve Risk Management (R. Reitano).

19. Hedging Corporate Securities with Treasury and Derivatives Instruments (S. Ramamurthy).

20. Valuation and Portfolio Risk Management with Mortgage-Backed Securities (S. Zenios).

21. Hedging Mortgage Passthrough Securities (K. Dunn and R. Sella).

22. Portfolio Risk Management (H. Fong and O. Vasicek).

23. Measuring and Forecasting Yield Volatility (F. Fabozzi and W. Lee).

SECTION V: EQUITY PORTFOLIO MANAGEMENT.

24. Investment Management: An Architecture for the Equity Market (B. Jacobs and K. Levy).

25. Investment Analysis: Profiting from a complex Equity Market (B. Jacobs and K. Levy).

26. The Use of Derivatives in Managing Equity Portfolios (R. Clarke, et al.).

Index.

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Investment Management for Insurers

Summary

Author Biography

Table of Contents

Supplemental Materials