Liability-Driven Investing for Life Insurers

A Primer on Liability Driven Investing

Estimating the Cost of Equity Capital for Property-Liability Insurers

The Wharton Financial Institutions Center provides a multidisciplinary research approach to the problems and opportunities facing the financial services industry in its search for competitive excellence. The Center's research focuses on the issues related to managing risk at the firm level as well as ways to improve productivity and performance. The Center fosters the development of a community...

On Merton ́s Problem for Life Insurers

This paper deals with optimal investment and redistribution of the free reserves connected to life and pension insurance contracts in form of dividends and bonus. Formulated appropriately this problem can be viewed as a modification of Merton’s problem of optimal consumption and investment with a very particular form of consumption and utility hereof. Both are linked to a finite state Markov ch...

Deflation Risk and Implications for Life Insurers

Life insurers are exposed to deflation risk: falling prices could lead to insufficient investment returns, and inflation-indexed protections could make insurers vulnerable to deflation. In this spirit, this paper proposes a market-based methodology for measuring deflation risk based on a discrete framework: the latter accounts for the real interest rate, the inflation index level, its condition...

Analysis of surgical errors in closed malpractice claims at 4 liability insurers.

BACKGROUND The relative importance of the different factors that cause surgical error is unknown. Malpractice claim file analysis may help to identify leading causes of surgical error and identify opportunities for prevention. METHODS We retrospectively reviewed 444 closed malpractice claims, from 4 malpractice liability insurers, in which patients alleged a surgical error. Surgeon-reviewers ...