Suppose you're looking at asset allocation strategies and you define risk in
a certain way - - let's say probability of surplus declining 50% on a GAAP
basis while taking no more risk than a peer group of companies on the same
basis.
Is it possible to calculate reasonably robust results of the peer group's
implied probability of surplus declining 50% on a GAAP basis using
historical statutory asset and liability data as the data source?
I could see a number of problems with this, for example, the usual
deficiencies of statutory data, and companies making asset allocation
decisions using completely different strategies. On the other hand, it's
doable.
Do people have other approaches or is ALEF not considered in asset
allocation decisions?
Thanks again,
Kirk Fleming
Visit the CAS Web Site at http://www.casact.org
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