RT Journal Article SR Electronic T1 Performance Measurement and Insurance Liabilities JF The Journal of Portfolio Management FD Institutional Investor Journals SP 105 OP 115 DO 10.3905/jpm.2001.319806 VO 27 IS 3 A1 Auke Plantinga A1 Carel Huijgen YR 2001 UL https://pm-research.com/content/27/3/105.abstract AB 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.