The Asset-Liability Ratio: An Innovative Risk-Adjusted Performance Measure for Life Insurers

33 Pages Posted: 15 Feb 2019

See all articles by Alexander Braun

Alexander Braun

University of St. Gallen - I.VW-HSG

Florian Schreiber

University of St. Gallen - I.VW-HSG

Date Written: February 4, 2019

Abstract

Established risk-adjusted financial performance measures such as the Sharpe, the Sortino or the Calmar Ratio have been developed with an exclusive focus on the mutual and hedge fund industries. Consequently, they are less suited for liability-driven investors such as life insurance companies, whose portfolio choice is materially affected by the substantial interest rate sensitivity of their long-term contractual obligations. In order to tackle this limitation, we develop the Asset-Liability Ratio, which is theoretically motivated, computable based on publicly-available data, incentive compatible and effective. Hence, it should be a valuable new tool for performance assessment in the life insurance industry.

Keywords: Asset-Liability Management, Life Insurance, Performance Measurement, Rank Correlation

JEL Classification: G11, G22, G28, G32, G38

Suggested Citation

Braun, Alexander and Schreiber, Florian, The Asset-Liability Ratio: An Innovative Risk-Adjusted Performance Measure for Life Insurers (February 4, 2019). Available at SSRN: https://ssrn.com/abstract=3328523 or http://dx.doi.org/10.2139/ssrn.3328523

Alexander Braun

University of St. Gallen - I.VW-HSG ( email )

Kirchlistrasse 2
St. Gallen, 9010
Switzerland

Florian Schreiber (Contact Author)

University of St. Gallen - I.VW-HSG ( email )

Tannenstrasse 19
St. Gallen, 9010
Switzerland

Register to save articles to
your library

Register

Paper statistics

Downloads
63
Abstract Views
258
rank
346,161
PlumX Metrics