General ReView, published by GR-NEAM (General Re – New England Asset Management Inc.), provides review and comment on current investment and capital management subjects impacting the insurance industry.

	General ReView -- Rating Agency Ratings and Value-at-Risk: Casual or Causal Relationships? (size:0.39MB) Issue: December, 2011   Language: English Author:  Jim Bachman Summary: Value-at-Risk (VaR) has emerged as a (the) key metric in solvency assessment and insurer capital adequacy measurement by rating agencies and regulators on a global basis. Individual companies can impact VaR estimates by managing capital levels and leverage, altering product margins/investment returns and mitigating their volatility through a myriad of strategies, all of which change prospective enterprise total return and risk, and, often at a cost.

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	General ReView -- Solvency II--The Dilemma (size:0.55MB) Issue: November, 2011   Language: English Author:  Jim Bachman Summary: At the "risk" of generalization, the Solvency II framework is very specific in regard to its ultimate evaluation criteria: 99.5% Value-at-Risk (VaR). Companies can derive their estimates of VaR using a standard model, as described in the EIOPA Technical Specification papers, for example, or they can develop their own model. In a sense, these two options characterize a subtle difference between a "rules based" and "principles based" approach.

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	General ReView -- 2010 Investment Highlights--Reported Results and Prospective Total Returns (size:0.75MB) Issue: September, 2011   Language: English Author:  Jim Bachman Summary: This General ReView has four sections. The first section presents a 10-year review of operating and investment results based upon statutory statement filings. We also display shorter time-frame, comparative exhibits. The second section provides investment profiles based upon cusip level holdings data and GR-NEAM market analytics. This section highlights various investment metrics focusing on the 10 largest P&C companies and industry aggregates.

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General ReView -- (size:0.65MB) Issue: May, 2011   Language: English Summary: Mean-Variance (MV) asset allocation methodologies are criticized most often on two counts: first, the derivation of returns is predicated upon historic information; and second, variance as a measure of risk fails to account adequately for the risk of loss, giving it the same relevance as the likelihood of upside gain. The validity of the first criticism depends upon practitioners return assumptions. The second criticism is valid. However, we believe it can be overcome by using enhanced metrics of downside risk in an MV framework to provide improved risk of loss estimates.

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	General ReView -- Managing Asymmetric Returns -- Inside Downside Risk (size:0.65MB) Issue: May, 2011   Language: English Summary: Mean-Variance (MV) asset allocation methodologies are criticized most often on two counts: first, the derivation of returns is predicated upon historic information; and second, variance as a measure of risk fails to account adequately for the risk of loss, giving it the same relevance as the likelihood of upside gain. The validity of the first criticism depends upon practitioners return assumptions. The second criticism is valid. However, we believe it can be overcome by using enhanced metrics of downside risk in an MV framework to provide improved risk of loss estimates.

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	General ReView -- Managing (De) Inflation Risk: Enterprise Considerations (size:0.46MB) Issue: December, 2010   Language: English Author:  Jim Bachman Summary: We begin this General ReView by presenting some historic data as a framing mechanism. Next we present capital market and insurers operating summary statistics for the periods of simulations we present, and discuss the basic simulation methods. In the third section, we show results of alternative scenarios when their initial assumptions prove to be incorrect. In the final section, we present a summary.

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	General ReView -- Investment Profiles: 2009 Property and Casualty and Specialty Company Results (size:1.16MB) Issue: October, 2010   Language: English Author:  Jim Bachman Summary: The first section of this General ReView focuses upon insurers operating results and a broad overview of investment results and holdings. The second section tracks the results of selected insurers and segments operating and investment results in contrast to all companies in the industry. The third section focuses upon multiple risk metrics of investment results. The final section provides a summary of key points.

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	General ReView -- The (Ir)relevance of Value-at-Risk: An Oxymoron? (size:0.64MB) Issue: April, 2010   Language: English Author:  Jim Bachman Summary: VaR and T-VaR metrics assuming normal markets significantly understate risk estimates by ignoring asymmetric extreme events. These approaches are naïve at best, and irrelevant at the worst but for the over-confidence (and ensuing damage), they might inspire. The emerging Levy method does formally account for extreme adverse events. It provides an earlier and a more severe response to emerging and potentially adverse outcomes than do those premised on normal markets.

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	General ReView -- Fixed Income Portfolio Duration: In What Context Does It Matter? (size:0.35MB) Issue: February, 2010   Language: English Author:  Jim Bachman Summary: We have to ask, what is the impact of insurers liabilities in the construction of their (cash market) fixed income portfolios? Or, is duration, like credit quality, only a derivative consequence of other investment objectives?

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	General ReView -- Amending ALM: An Enterprise Solution for Insurer Risk Management (size:0.25MB) Issue: January, 2010   Language: English Author:  Jim Bachman Summary: The underlying requirement of Enterprise capital return and risk management is a culture of governance, accountability and risk awareness. The tools we use are intended to support these prerequisites, not replace them. We view models as tools whether they are deterministic, Mean/Variance or stochastic, and therefore, intellectual curiosity and caution must be exercised.

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	General ReView -- Investment Profiles: 2008 P&C/Life Holdings (size:1.22MB) Issue: December, 2009   Language: English Author:  Jim Bachman Summary: Despite the tumult of the 2008 capital markets, most insurers' investments were not so severely impacted. The greatest sources of losses were equity holdings, a large portion due to affiliated company valuations. Fixed income write-downs, in particular as a percent of assets, were quite small. Of greater interest is mortality and annuity companies' fixed income durations continue to trail those of non-life companies.

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	General ReView -- Investment Risk Management Metrics: Life and Property/Casualty Insurers (size:0.65MB) Issue: December, 2008   Language: English Author:  Jim Bachman Summary: Fundamentally, we believe that investment risk cannot be viewed independently of product risk, but rather that an enterprise-wide approach must be taken.

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	General ReView -- 2007 Investment Results: Company Portfolio Risk Assessments--VAR and T-VAR (size:0.29MB) Issue: July, 2008   Language: English Author:  Jim Bachman Summary: "Value-at-Risk" (VAR) has been universally accepted as one metric of investment portfolio risk. In this General ReView, while caveating VAR's limitations, we present its application to property/casualty companies' 2006 and 2007 year-end investment portfolio holdings highlighting return/risk results among companies.

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	General ReView -- Fixed Income Portfolios: Risk Assessment and Peer Reviews (size:0.11MB) Issue: March, 2008   Language: English Author:  Jim Bachman Summary: Fixed income securities most often represent 80% or more of insurers' investments and provide a significant share of operating earnings. Unfortunately, the data needed to assess accurately returns and risk is very difficult to obtain. As a consequence, most performance comparatives and peer reviews can become misleading.

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	General ReView -- 2006 Life Investment Results: Allocations, Returns and Risk (size:0.55MB) Issue: December, 2007   Language: English Author:  Jim Bachman Summary: Our focus for this publication is on recent fixed-income portfolio yields and risk metrics of Life insurers. We examine these in the context of Life insurers product emphasis.

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	General ReView -- 2006 Investment Results: Comparisons and Holdings (size:0.62MB) Issue: November, 2007   Language: English Author:  Jim Bachman Summary: Individual company asset allocations, investment yields and their associated risks continue to show wide deviations from industry averages. These differences often reflect operational needs and might be the consequence of affiliation with multi-line/global operations rather than domestic property/casualty company risk capacity.

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	General ReView -- Enterprise Based Asset Allocation: When the World Is Not Normal (size:0.04MB) Issue: August, 2007   Language: English Author:  Jim Bachman Summary: It is common belief that asset returns and insurance product line margins are not normally distributed nor can their inter-relationships be characterized only by their correlations.

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	General ReView - 2005 Property/Casualty Investment Results: Behind The Averages (size:0.50MB) Issue: December, 2006   Language: English Summary: Investment profiles among property/casualty insurers, similar to underwriting results, further widened in 2005. Industry averages might not represent results of the "average" company.

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	General ReView - Alternative Investments: Asset Classes Eligible for Insurers (size:0.27MB) Issue: October, 2006   Language: English Summary: In this article, we focus on the analysis of commodities. We do this because of the recent surge in their returns (and their associated promotion) from previously low levels.

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