Investment Management for Insurers [Hardcover]

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.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.
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