Permanent Health Insurance Methodology: seminar, 21 November 1991
Portfolio selection and matching: a synthesis
This paper considers a general framework for the selection of assets to meet the liabilities of a life insurance or pension fund. This general framework contains the mean-variance efficient portfolios of modern portfolio theory as a special case. The paper also demonstrates how the portfolio selection and matching approach of Wise and of Wilkie fits into this general framework. The matching portfolio is derived as a special case, and is also shown to have implications for determining the central value of the liabilities.
General Insurance Study Group, Convention, 24-25 October 1991
The recent trend of mortality in Great Britain
This note continues a regular series on mortality rates in Great Britain, showing the mortality experienced in each age-group in 1990 and comparing this for broad age-groups, on a standardised basis, with mortality in earlier years.