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Alexander Braun
Title
Prof. Dr.
Last Name
Braun
First name
Alexander
Email
alexander.braun@unisg.ch
Phone
+41 71 224 3653
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PublicationPerformance Measurement in the Life Insurance Industry: An Asset-Liability PerspectiveEstablished risk-adjusted investment 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 introduce the Asset-Liability Sharpe Ratio, which is theoretically motivated, computable based on publicly-available data, incentive compatible, and relevant. Hence, it should be a valuable new tool for performance assessment in the life insurance industry.Type: journal articleJournal: Journal of Fixed IncomeVolume: 30Issue: 3