General ReView, published by General Re – New England Asset Management Inc. (GR-NEAM), provides review and comment on current investment and capital management subjects impacting the insurance industry.
Gen Re Research publications are prepared for, and shared with, clients of Gen Re companies. Access to some research publications may require log-in. A web listing of all publication titles can be accessed by clicking here. To obtain complete copies of any publications or to learn more about our research, please email us or contact your Gen Re representative. As a Gen Re client, you can also access all our research publications by logging into your Gen Re Online extranet account.
Issue: February, 2010Language: 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?
Issue: January, 2010Language: 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.
Issue: December, 2009Language: 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.
Issue: December, 2008Language: 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.
Issue: July, 2008Language: 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.
Issue: March, 2008Language: 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.
Issue: December, 2007Language: 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.
Issue: November, 2007Language: 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.
Issue: August, 2007Language: 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.
Issue: December, 2006Language: English
Author:
Terry Becker
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.
Issue: October, 2006Language: English
Author:
Terry Becker
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.
Issue: December, 2005Language: English
Author:
Jim Bachman
Summary: This article discusses the investment portfolio composition of annuity writers and ordinary life insurers. There is also a comparison of the risk-adjusted returns of the P&C insurers versus life insurers.
Issue: November, 2005Language: English
Author:
Jim Bachman
Summary: This article addresses property/casualty insurers' 2004 investment results. The first section comments upon fixed income portfolio duration management and risk-adjusted returns. The second and third sections update many of the prior year's charts and tables for fixed income and equity holdings, respectively. The fourth section provides a quick summary.
Issue: May, 2005Language: English
Author:
Jim Bachman
Summary: Enterprise Based Investment Benchmarks(sm) (EBIB) leverages Merrill Lynch's BookMark(sm) capabilities to provide pre-tax and after-tax total returns and book income returns reflecting portfolio contributions and withdrawals and gain/loss constraints.
Issue: January, 2005Language: English
Author:
Jim Bachman
Summary: GR-NEAM has collaborated with Merrill Lynch & Company, Inc. to develop a new series of fixed income performance indices. Their purpose is to create greater clarity of insurers¿ investment objectives, improve alignment of investment manager and insurer goals and thereby enhance long-term after-tax risk adjusted total return investment performance.
Issue: November, 2004Language: English
Author:
Jim Bachman
Summary: The notion of partitioning property/casualty portfolios into three components: liquidity, reserve and capital is quite old. However, partitioning has the implicit underlying assumption that the correlation among the funds¿ assets and between the insurer¿s underwriting margins and asset class returns is nil.
Issue: August, 2004Language: English
Author:
Jim Bachman
Summary: This article introduces the notion of risk-adjusted income returns for insurers' fixed income security holdings and portfolios. Also displayed are many of the standard prior categorizations of insurers' holdings and investment results.
Issue: May, 2004Language: English
Author:
Jim Bachman
Summary: This is the second of four articles addressing equity investments by property/casualty insurance companies as of 2003. This article presents an enterprise risk framework as a means to determine an appropriate range of equity allocation. General ReView, published by General Re-New England Asset Management,Inc., (GR-NEAM) provides review and comment on current investment and capital management subjects impacting the insurance industry.
Issue: February, 2004Language: English
Author:
Jim Bachman
Summary: This is the first of four articles addressing equity investments by property/casualty insurance companies as of 2002. This article profiles equity ownership and the attributes of the holdings. General ReView, published by General Re-New England Asset Management,Inc., (GR-NEAM) provides review and comment on current investment and capital management subjects impacting the insurance industry.
Issue: October, 2003Language: English
Author:
Jim Bachman
Summary: This issue addresses domestic property/casualty companies' recent investment results through 2002. As before, the intention is that this review might be useful to insurers to gauge their results and plan ongoing investment strategies in an increasingly difficult investment environment.
Issue: August, 2003Language: English
Author:
Jim Bachman
Summary: Credit quality of insurers corporate bond holdings worsened in 2002. Downgrades to below investment grade spiked sharply and there is scant evidence to indicate opportunistic 4th quarter buying. Yet, wide differences among individual company results suggests that managing exposure to credit risk is very achievable.
Issue: July, 2003Language: English
Author:
Jim Bachman
Summary: Newly proposed accounting rules regarding "Other than Temporary Impairments" are subject to some degree of interpretation. These might lead to unintended consequences for many companies.
Issue: June, 2003Language: English
Author:
Jim Bachman
Summary: This issue examines results and trends in recent fixed-income performance of the life/health industry. It finds an overall decrease in yields and a decline in portfolio credit quality. It also reviews industry diversification levels and highlights the key factors of portfolio diversification.
Issue: May, 2003Language: English
Author:
Jim Bachman
Summary: Selecting duration targets can be as complicated as it is important and we believe material opportunities do exist to improve performance by revising duration targets.
Issue: March, 2003Language: English
Author:
Jim Bachman
Summary: Conventional fixed income performance benchmarking relies upon measures and standards which are most often not relevant to insurance companies, and in fact, might lead to behavior which lessens insurers' income and surplus accumulation over the long-term. Awareness of this circumstance is the first step to developing benchmarks which more accurately reflect the unique needs of insurers.
Issue: November, 2002Language: English
Author:
Jim Bachman
Summary: **Available as PDF only. Hard copies no longer available.** Managing the Challenges Ahead - Last year was a difficult year for insurers' investment results. This article addresses the challenges of achieving investment objectives in an increasingly difficult environment.
Issue: October, 2001Language: English
Author:
Jim Bachman
Summary: **Available as PDF only. Hard copies no longer available.** October 2001 Issue No. 12 - A basic framework to enable companies to examine alternative strategies to improve after-tax returns and their impact upon leverage and financial solidity.
Issue: October, 2001Language: English
Author:
Jim Bachman
Summary: **Available as PDF only. Hard copies no longer available.** General ReView, published by General Re-New England Asset Management,Inc., (GR-NEAM) provides review and comment on current investment and capital management subjects impacting the insurance industry. This issue highlights reinsurance as a means to improve individual company after-tax return on equity while at the same time enhancing financial solidity.
Issue: September, 2001Language: English
Author:
Jim Bachman
Summary: **Available as PDF only. Hard copies no longer available.** September 2001 Issue No. 11 - This issue provides a fifty year review examining long(er) term trends in the industry's profit margins and leverage.
Issue: September, 2001Language: English
Author:
Jim Bachman
Summary: **Available as PDF only. Hard copies no longer available.** This issue provides an update to the financial consequences of realizing capital gains within the property/casualty industry by asset class.
Issue: November, 2000Language: English
Author:
Jim Bachman
Summary: **Available as PDF only. Hard copies no longer available.** Codification - A Big Event or just a Whimper?
Issue: October, 2000Language: English
Author:
Jim Bachman
Summary: **Available as PDF only. Hard copies no longer available.** This article provides two updates to prior editions. First we summarize the realized fixed income gains of the property/casualty industry in 1999; and second, we identify the yield pick-up required to recapture surplus lost to realized bond gains.
Issue: March, 2000Language: English
Author:
Jim Bachman
Summary: **Available as PDF only. Hard copies no longer available.** This issue covers the causes of variations in statutory taxes.
Issue: September, 1999Language: English
Author:
Jim Bachman
Summary: **Available as PDF only. Hard copies no longer available.** Turnover and Taxes - This newsletter focuses upon turnover due only to investment considerations.
Issue: July, 1999Language: English
Author:
Jim Bachman
Summary: **Available as PDF only. Hard copies no longer available.** Total Return Myth - This newsletter focuses upon the value of realized capital gains.
Issue: July, 1999Language: English
Author:
Jim Bachman
Summary: **Available as PDF only. Hard copies no longer available.** Total Return Myth-Revisited - This newsletter highlights 1998 realized capital gains.
