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Liability-Driven Investment Strategies for Life Insurance Portfolio

Student: Anna Ignateva

Supervisor: Nikolay I. Berzon

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Engineering (Master)

Final Grade: 8

Year of Graduation: 2019

The purpose of this study is to develop a strategy based on «Liability-Driven Investments» (LDI) approach for a life insurance company, which will not create a conflict between shareholders and clients, increase profitability and ensure the fulfillment of obligations under insurance policies. To fulfil this goal, the scientific literature on LDI and life insurance investment process has been studied. Based on the received knowledge we managed to develop a Liability-Driven Investments approach with a separate allocation ща Surplus Portfolio that can generate additional income. The developed approach has been applied to real assets and liabilities portfolio of the life insurance company and proved its effectiveness.

Full text (added May 27, 2019)

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