Variability of Universal Life Cash Flows under Higher Risk Investment Strategies
This integrated project studied the offsetting elements of higher nominal yields, greater credit loss expectations, and higher capital requirements on the profitability of the life insurer that pursues a higher yield investment strategy. Profitability measures were developed for a Universal Life product. The report provides an attribution of profit drivers for the insurer. The effects of credit rating migration on credit loss rates and bond capital charges were examined, and investment strategies were tested under credit stress scenarios.
- Integrated_Project_Group_Six_-_UL_Investment_Strategies-5-12-13_FINAL.pdf application/pdf 596 KB Download File
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- June 27, 2013