Investment Management for Insurers

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David F. Babbel, Frank J. Fabozzi, CFA
John Wiley & Sons, Feb 15, 1999 - Business & Economics - 570 pages
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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.
 

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Contents

An Analysis of the Process
3
A Performance Measurement System for Insurers
61
Asset Allocation for Property and Casualty Insurers
77
FIXED INCOME PRODUCTS
84
MortgageBacked Securities and AssetBacked Securities
119
Interest Rate Derivatives
161
Credit Derivatives
185
CatastropheLinked Securities
209
Speeding Up the Valuation Process
303
Term Structure Factor Models
331
Effective and Ineffective Duration Measures for Life Insurers
353
Hedging Corporate Securities with Treasury and Derivative Instruments
395
Valuation and Portfolio Risk Management with
413
Hedging Mortgage Passthrough Securities
433
Measuring and Forecasting yield Volatility
453
EQUITY PORTFOLIO MANAGEMENT
475

Interest Rate Models
237
The Four Faces of an Interest Rate Model
257
Some Numerical Examples
269
Profiting from a Complex Equity Market
497
The Use of Derivatives in Managing Equity Portfolios
513
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About the author (1999)

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

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