Academic Commons

Reports

Variability of Universal Life Cash Flows under Higher Risk Investment Strategies

Tayal, Abhishek; Yang, Canning; Dunn, Thomas P.

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.

Subjects

Files

  • thumnail for Integrated_Project_Group_Six_-_UL_Investment_Strategies-5-12-13_FINAL.pdf Integrated_Project_Group_Six_-_UL_Investment_Strategies-5-12-13_FINAL.pdf application/pdf 596 KB Download File

More About This Work

Academic Units
Statistics
Published Here
June 27, 2013
Academic Commons provides global access to research and scholarship produced at Columbia University, Barnard College, Teachers College, Union Theological Seminary and Jewish Theological Seminary. Academic Commons is managed by the Columbia University Libraries.