The efficacy of life insurance company general account equity asset allocations: a safety-first perspective using vine copulas

Ryan Timmer, John Paul Broussard, G. Geoffrey Booth

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1 Citeringar (Scopus)

Sammanfattning

We study the asset allocation decision of a life insurance company’s general account with respect to the possibility of large negative economic shocks and examine how this account is affected by policyholder investment decisions in the company’s separate account. This is accomplished using a performance metric that incorporates downside risk measured using univariate and multivariate extreme value distributions. Because of its well-known price volatility, diversification attributes, and significant weight in the combined general and separate accounts, our primary focus is the company’s equity investments. Although industry asset allocations have varied over the past two decades, we find that the actual allocations to equity in the general account are close to the allocation percentages suggested by our extreme value metrics and both are far below the maximum values indicated by the relevant regulatory bodies.
OriginalspråkEngelska
Referentgranskad vetenskaplig tidskriftAnnals of Actuarial Science
Volym12
Nummer2
Sidor (från-till)372–390
Antal sidor19
ISSN1748-4995
DOI
StatusPublicerad - 21.01.2018
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

Nyckelord

  • 511 Nationalekonomi

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