Performance Measurement and Insurance Liabilities
为保险公司等机构投资者开发了一个归因框架，通过构建双重基准组合来评估投资绩效，平衡股东价值最大化与保单持有人价值保护，并降低代理成本。
In this article, the authors develop an attribution framework for evaluating the investment performance of institutional investors such as insurance companies. The model is useful in identifying the investment skills of insurance 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 the policyholders. For each objective, the authors develop a different benchmark portfolio, which are joined together to form the dual benchmark portfolio. As a result, their model achieves a balance between these two objectives and reduces agency costs.