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Active Investment Policy Related to the Holding of Matched Assets

Published online by Cambridge University Press:  07 November 2014

D. J. Robertson  and
I. L. B. Sturrock
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Extract

Our aim in writing this paper is to show the various ways in which a life office can make a profit by varying or “switching“ its investments from time to time. We shall assume for the sake of simplicity that we are dealing with the life fund of a mutual office which has transacted all its business within the U.K. (i.e. all its liabilities are in sterling) and which does not guarantee surrender values; we shall ignore the effect of any new business which may be transacted in the future.

Type
Research Article
Information
Transactions of the Faculty of Actuaries , Volume 22 , 1954 , pp. 36 - 96
Copyright
Copyright © Institute and Faculty of Actuaries 1954

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