ABSTRACT
We have laid out the evidence in previous chapters on the portfolio composition of life companies and changes in this for the period 1963–76; the nature of their liabilities, the objectives which they are alleged to have and the various methods by which they may attempt to achieve these objectives. Additionally, we have summarised and criticised the evidence for the UK on the previous attempts to model their portfolio behaviour. In this chapter, we now wish to start the estimation of our own models, taking into account the various considerations already stressed elsewhere in this study. In this respect we wish to develop a framework which combines and synthesises the objectives of life companies with the environmental and institutional factors which condition their behaviour.
