Investment Management for Insurers / Edition 1

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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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Product Details

  • ISBN-13: 9781883249472
  • Publisher: Wiley
  • Publication date: 2/15/1999
  • Series: Frank J. Fabozzi Series, #43
  • Edition number: 1
  • Pages: 570
  • Product dimensions: 9.21 (w) x 6.14 (h) x 1.31 (d)

Meet the Author

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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Table of Contents

About the Editors.



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 ofLiabilities (D. Babbel).

3. A Performance Measurement System for Insurers (D. Babbel, etal.).

4. Asset Allocation for Property and Casualty Insurers (B.Tran).


5. Treasuries, Agency Debentures, Corporates, MTNs, Municipals, andEurobonds (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.).


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.).


15. Fixed Income Risk (R. Kahn).

16. Term Structure Factor Models (R. Kuberek).

17. Effective and Ineffective Duration Measures for Life Insurers(D. Babbel).

18. Yield Curve Risk Management (R. Reitano).

19. Hedging Corporate Securities with Treasury and DerivativesInstruments (S. Ramamurthy).

20. Valuation and Portfolio Risk Management with Mortgage-BackedSecurities (S. Zenios).

21. Hedging Mortgage Passthrough Securities (K. Dunn and R.Sella).

22. Portfolio Risk Management (H. Fong and O. Vasicek).

23. Measuring and Forecasting Yield Volatility (F. Fabozzi and W.Lee).


24. Investment Management: An Architecture for the Equity Market(B. Jacobs and K. Levy).

25. Investment Analysis: Profiting from a complex Equity Market (B.Jacobs and K. Levy).

26. The Use of Derivatives in Managing Equity Portfolios (R.Clarke, et al.).


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  • Anonymous

    Posted May 5, 2004

    A Good Read!

    David F. Babbel, a professor of insurance and finance, and Frank. J. Fabozzi, a professor of finance, compiled Investment Management for Insurers, an extensive series of articles (including six they wrote) on managing investments. Various experts contributed the other two-dozen plus articles. The book, which is organized in sections based on major investment management topics, focuses first on general insurance issues, such as risk management and setting up a performance management system for insurers. Subsequent articles cover fixed income products, valuation, equity portfolio management and measuring and controlling interest rate risk. This highly technical book may not be sexy, but it is very sophisticated and fully accessorized with tables, charts, graphs, mathematical formulas and footnotes. Let¿s be clear: it¿s a book for pros, an in-depth compilation that we recommend to professional and academic specialists in insurance investment management.

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