review for Tue

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 02/05/2001
10:10 AM ---------------------------

Amitava Dhar@ENRON
02/05/2001 09:19 AM
To: Vince J Kaminski/HOU/ECT@ECT
cc: Vasant Shanbhogue/HOU/ECT@ECT
Subject: Understanding Risk and Return of an Insurance Portfolio

Hi Vince,

I am enclosing a report on my thoughts about risk and return behaviour of an
insurance portfolio. Your input on this will be very helpful.

I have given Vasant a copy of this report and am working with him towards
improving this. In the mean time, I happened to mention this idea in a
meeting with David Porter, Per Sekse, Brad Blesie and David Hoog and there
seems to be some interest in understanding how this works. In fact, David
Hoog subsequently reviewed this with me and suggested some changes. Those
changes have been included in this report.

The idea here is simple and just a starting point. While it provides a broad
picture on how risk and return will behave at portfolio level, I am hoping
to be able to relax some of the assumptions to get more realistic picture in
near future.

Looking forward to your input,

Sincerely,

Amitava