The efficacy of life insurance company general account equity asset allocations

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Timmer , R , Broussard , J P & Booth , G G 2018 , ' The efficacy of life insurance company general account equity asset allocations : a safety-first perspective using vine copulas ' , Annals of Actuarial Science , vol. 12 , no. 2 , pp. 372–390 . https://doi.org/10.1017/S1748499517000264

Title: The efficacy of life insurance company general account equity asset allocations;
a safety-first perspective using vine copulas
Author: Timmer, Ryan; Broussard, John Paul; Booth, G. Geoffrey
Contributor: Hanken School of Economics, Accounting, Helsinki
Belongs to series: Annals of Actuarial Science
ISSN: 1748-4995
Abstract: 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.
Date: 2018-01-21
Subject: 511 Economics
Life Insurance
Investment Performance
Asset Allocation
Downside Risk
Vine copulas
Background Risk
Extreme value theory
KOTA2018
PREM0000
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