ABSTRACT
In recent years, Yasuda, like others in the insurance industry worldwide, has been issuing a growing number of savingsoriented policies with an increasing range of policy maturities. As a result, its liabili ties are of a different character and more complex than in the past. Also, insurance laws and other regulatory guidelines im pose many restrictions on insurance com pany practices. Further, competitive pres sures give rise to the potentially conflicting goals of obtaining a competitive current yield and a long-run high total return. The basic question that Yasuda asked Frank Russell Company was how it should man age its investment assets in the face of this changing and complex environment. It clearly needed better tools than the static mean-variance analysis that it had used in the past.
