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 at AskGenRe@genre.com 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.

	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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	General ReView - 2004 Life Insurer Investment Results: A Few Surprises (size:0.49MB) Issue: December, 2005   Language: 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.

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	General ReView - 2004 Property/Casualty Investment Results: Some New Looks (size:0.36MB) Issue: November, 2005   Language: 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.

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	General ReView - Enterprise Based Investment Benchmarks: Measuring Performance Right (size:0.19MB) Issue: May, 2005   Language: 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.

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	General ReView - Enterprise Based Investment Benchmarks: An Industry Standard? (size:0.14MB) Issue: January, 2005   Language: 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.

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	General ReView - Partitioning Investment Portfolios: Unintended Consequences of Ignoring Correlated Results (size:0.50MB) Issue: November, 2004   Language: 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.

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	General ReView - 2003 Property/Casualty Investment Results: Evolving Return/Risk Profiles (size:0.28MB) Issue: August, 2004   Language: 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.

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	General ReView - Insurers' Equity Investments: Part 2 - Special Report (size:0.16MB) Issue: May, 2004   Language: 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.

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	General ReView - Insurers' Equity Investments: Part 1 - Special Report (size:0.08MB) Issue: February, 2004   Language: 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.

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	General ReView - Property/Casualty Investment Results in 2002 (size:0.09MB) Issue: October, 2003   Language: 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.

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	General ReView - 2002 Credit Quality Migration - Mixed Results for P&C Insurers (size:0.07MB) Issue: August, 2003   Language: 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.

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	General ReView - "Other Than Temporary" Unintended Consequences (size:0.06MB) Issue: July, 2003   Language: 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.

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General ReView - Life/Health Fixed Income Investments - 2002 (size:0.08MB) Issue: June, 2003   Language: 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.

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	General ReView - Property/Casualty Fixed Income Duration Targets: Another Myth? (size:0.08MB) Issue: May, 2003   Language: 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.

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	General ReView - P&C Industry Fixed Income Benchmark Management: An Expensive Proposition (size:0.08MB) Issue: March, 2003   Language: 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.

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General ReView - Investment Results in 2001: Managing the Challenges Ahead (size:0.09MB) Issue: November, 2002   Language: 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.

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General ReView - Operating Margins, Leverage and Return on Equity: A Framework for Evaluation (size:0.09MB) Issue: October, 2001   Language: 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.

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General ReView - Reinsurance: A Capital Management Opportunity to Improve Financial Performance (size:0.13MB) Issue: October, 2001   Language: 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.

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General ReView - Capital in the Property/Casualty Industry (size:0.22MB) Issue: September, 2001   Language: 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.

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General ReView - Total Return Myth: 2000 Update (size:0.05MB) Issue: September, 2001   Language: 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.

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General ReView - Codification - A "Big Event" or just a "Whimper?" (size:0.11MB) Issue: November, 2000   Language: English Author:  Jim Bachman Summary: **Available as PDF only. Hard copies no longer available.** Codification - A Big Event or just a Whimper?

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General ReView - Total Return Myth - An Additional Consideration (size:0.07MB) Issue: October, 2000   Language: 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.

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General ReView - Variations in Statutory Taxes: An Opportunity? (size:0.03MB) Issue: March, 2000   Language: English Author:  Jim Bachman Summary: **Available as PDF only. Hard copies no longer available.** This issue covers the causes of variations in statutory taxes.

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General ReView - Turnover and Taxes (size:0.53MB) Issue: September, 1999   Language: 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.

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General ReView - Total Return Myth (size:0.11MB) Issue: July, 1999   Language: 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.

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General ReView - Total Return Myth - Revisited (size:0.13MB) Issue: July, 1999   Language: 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.

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