Performance measurement and insurance liabilities - A dual benchmark.

In this article, the authors develop an attribution framework for evaluatin g the investment performance of institutional investors such as insurance c ompanies. The model is useful in identifying the investment skills of insur ance companies. This is accomplished by developing a dual benchmark for the investor that is focused toward the two objectives of the investor, namely the maximization of shareholder value and the protection of the value of t he policyholders. For each objective, the authors develop a different bench mark portfolio, which are joined together to form the dual benchmark portfo lio. As a result, their model achieves a balance between these two objectiv es and reduces agency costs.