Session 3a Asset Liability Management Strategies. Zachary Brown, CFA, FRM, PRM
|
|
- Jessie Dalton
- 6 years ago
- Views:
Transcription
1 Session 3a Asset Liability Management Strategies Zachary Brown, CFA, FRM, PRM
2 Asset Liability Management Strategies Session ZACHARY Z. BROWN, CFA, FRM, PRM Portfolio Manager, Milliman September 1 st, 2016 Measuring Investment Success Asset Management Metrics: Rate of return, Sharpe Ratio, Alpha Benchmarks: Market indices, Peer Group analysis These measures only consider the assets; they don t take into account the liabilities 2
3 Sequence of Returns Effect The optimal portfolio for a buy and hold investor will focus on performance over a long period of time The rates of return are hypothetical historical illustrations and do not represent the returns of any particular investment portfolio. 3 Sequence of Returns Effect Buy and hold investors can afford to take short term losses as long as the market eventually recovers The rates of return are hypothetical historical illustrations and do not represent the returns of any particular investment portfolio. 4
4 Sequence of Returns Effect Investors with large liabilities can t afford to ride out the storm The rates of return are hypothetical historical illustrations and do not represent the returns of any particular investment portfolio. 5 Measuring Investment Success Equitable US life insurance company in the 1980s Guaranteed Interest Contracts (GICs) Guaranteed 16% rates for up to 10 years Equitable invested in short term bonds Interest rates fell, Equitable was demutualized and sold 6
5 Measuring Investment Success McKinsey & Company, 2015 While liability risk management and investment skills both help drive earnings, risk management is the main driver of performance differentiation for value creation in life insurance in China. Further, based on similar research across life insurance markets globally, we believe that this balance will shift even more towards liability risk management excellence as the Chinese economy matures. 7 Asset Liability Management (ALM) Take into account both assets and liabilities when making decisions Who uses ALM? Financial theory offers no good reason for making a distinction between ALM as practiced by banks, insurance companies, or pensions CFA Institute, 2013 History of ALM Strategies 8
6 Dedication 1970s Exact matching of a stream of future cash flows Rigid, inflexible, and more expensive to implement as interest rates declined from 1982 onward 9 Immunization 1980s Match the interest rate sensitivity of the liability in present value terms Duration: Measure of how value changes as interest rates change 10
7 Problems with Duration Only works for small changes in interest rates Convexity: Measure of how Duration changes as interest rates change Only works for parallel shifts in interest rates Key Rate Duration: Duration for specific segments of the interest rate curve 11 Problems with Duration - Optionality In order to keep the competitiveness in the marketplace, almost all insurance companies offer embedded options in their products Society of Actuaries, 2003 Floor guarantees, prepayment risk Prepayment risk can undermine the best asset/liability management strategy if it is grounded entirely on duration Center for Insurance Policy and Research,
8 Surplus Optimization 1990s Financial Accounting Standards allowed pensions to use return on assets to offset pension liabilities Incentive to invest heavily in equities The equity bear market that hit in became a pension tsunami CFA Institute, Surplus Optimization 14
9 Current Best Practices Hedging Decompose liabilities into risk factors Greeks: Delta, Gamma, Rho, Vega Complex liability modelling Every policy sold to investors vs. model points Dynamic policyholder behavior Market Scenarios: Equity markets, interest rates, volatility surfaces 15 Current Best Practices Baseline: Deterministic Scenario The average profit over all scenarios is NOT equal to the profit in the average scenario SOURCE: The Flaw of Averages: Why We Underestimate Risk in the Face of Uncertainty by Sam L. Savage, with illustrations by Jeff Danziger. 16
10 Current Best Practices Stress testing, sensitivity analysis Stochastic Scenario Analysis Scenario generator: create a large number of scenarios Computing power: computationally intensive calculations 17 Using ALM Tools Holistically ALM Tools and strategies can be used in all stages Product Design Create products that are easier to hedge Reinvestment risk: Floating rate products Equity market risk: Managed Risk Funds Nearly all of the top variable annuity living benefit writers require Vol Funds to be selected as investment options Insured Retirement Institute,
11 Derivatives Tools to implement ALM Strategies: Swaps, options, futures, forwards The notional value of derivatives held by the insurance industry increased 8.6% from the previous year to about $2.02 trillion. NAIC, 2016 Flexible, low transaction costs, generally good liquidity Basis risk, Counterparty risk 19 Performance Attribution 20
12 Derivatives Market in China First stock index futures market Five-year government bond futures Industry groups likely to seek approval to launch a CDS market soon Yet the new rules have also made life more difficult for hedgers. Financial Times, Derivatives Market in China 22
13 The Future of Risk Management Demographics: as populations age, risk management becomes more important The analysis reveals that the primary difference between China s higher- and lower-performing life insurers is skill in managing liability risk. McKinsey & Company,
Asset Liability Management An Integrated Approach to Managing Liquidity, Capital, and Earnings
Actuaries Club of Philadelphia Asset Liability Management An Integrated Approach to Managing Liquidity, Capital, and Earnings Alan Newsome, FSA, MAAA February 28, 2018 Today s Agenda What is Asset Liability
More informationQuantitative Finance Investment Advanced Exam
Quantitative Finance Investment Advanced Exam Important Exam Information: Exam Registration Order Study Notes Introductory Study Note Case Study Past Exams Updates Formula Package Table Candidates may
More informationFrançois Morin, FCAS, CFA, is a Principal with Tillinghast-Towers Perrin, 175 Powder Forest Drive, Weatogue, CT 06089,
RISK POSITION REPORTING Stephen Britt 1, Anthony Dardis 2, Mary Gilkison 3, François Morin 4, Mary M. Wilson 5 ABSTRACT Risk management is central to running a successful insurance operation. This means
More informationSOCIETY OF ACTUARIES Individual Life & Annuities Canada Company/Sponsor Perspective Exam CSP-IC MORNING SESSION
SOCIETY OF ACTUARIES Individual Life & Annuities Canada Exam CSP-IC MORNING SESSION Date: Friday, April 29, 2011 Time: 8:30 a.m. 11:45 a.m. INSTRUCTIONS TO CANDIDATES General Instructions 1. This examination
More informationBack to basis Evolving technical matters
Back to basis Evolving technical matters Savings and retirement products with guarantees: how to get a better return with lower risks? Prepared by Clement Bonnet Consulting Actuary Clement Bonnet Consulting
More informationThe Evolution of Asset/Liability Management (a summary)
The Evolution of Asset/Liability Management (a summary) Ronald J. Ryan, CFA Published 2013 by the Research Foundation of CFA Institute Summary prepared by Ronald J. Ryan, CFA The objective of most US institutions
More informationNovember Course 8V
November 2000 Course 8V Society of Actuaries COURSE 8: Investment - 1 - GO ON TO NEXT PAGE November 2000 Morning Session ** BEGINNING OF EXAMINATION ** MORNING SESSION Questions 1 3 pertain to the Case
More informationVariable Annuity Market Trends. Presented by : Ken Mungan, FSA, MAAA Financial Risk Management, Practice Leader
Variable Annuity Market Trends Presented by : Ken Mungan, FSA, MAAA Financial Risk Management, Practice Leader Agenda Current Market Update Industry issues Product trends Risk management trends Low interest
More informationSession 83 PD, Modeling Managing and Pricing Living Benefits Risk. Moderator: Sean Michael Hayward, FSA, MAAA
Session 83 PD, Modeling Managing and Pricing Living Benefits Risk Moderator: Sean Michael Hayward, FSA, MAAA Presenters: Guillaume Briere-Giroux, FSA, MAAA Sean Michael Hayward, FSA, MAAA Eric L. Henderson,
More informationAsset and Liability Management for Banks and Insurance Companies
Asset and Liability Management for Banks and Insurance Companies Series Editor Jacques Janssen Asset and Liability Management for Banks and Insurance Companies Marine Corlosquet-Habart William Gehin Jacques
More informationIntroduction to Bonds The Bond Instrument p. 3 The Time Value of Money p. 4 Basic Features and Definitions p. 5 Present Value and Discounting p.
Foreword p. xv Preface p. xvii Introduction to Bonds The Bond Instrument p. 3 The Time Value of Money p. 4 Basic Features and Definitions p. 5 Present Value and Discounting p. 6 Discount Factors p. 12
More informationSOCIETY OF ACTUARIES Advanced Portfolio Management Exam APM MORNING SESSION. Date: Friday, November 2, 2012 Time: 8:30 a.m. 11:45 a.m.
SOCIETY OF ACTUARIES Exam APM MORNING SESSION Date: Friday, November 2, 2012 Time: 8:30 a.m. 11:45 a.m. INSTRUCTIONS TO CANDIDATES General Instructions 1. This examination has a total of 120 points. It
More informationRisk Management, Hedging and Product Design in a With-profits fund Session C10
Life conference and exhibition 2010 Michael Payne, Prudential; Joshua Corrigan, Milliman Risk Management, Hedging and Product Design in a With-profits fund Session C10 7-9 November 2010 Agenda Background
More informationAdvanced Interest Rate Derivatives This course can also be presented in-house for your company or via live on-line webinar
Advanced Interest Rate Derivatives This course can also be presented in-house for your company or via live on-line webinar The Banking and Corporate Finance Training Specialist Course Objectives The broad
More informationIn-Term Exam I. Life Insurance. Liabilities Policy reserves (the exp. payment commitment on existing policy contracts)
Reinsurance & Integrated Risk Management Week 5 In-Term Exam I Thursday Lecture, Week 7. Relevant content Week 1-4. All lectures & readings are examinable. 2 Life Insurance The Balance Sheet Assets e.g.
More informationSOA Risk Management Task Force
SOA Risk Management Task Force Update - Session 25 May, 2002 Dave Ingram Hubert Mueller Jim Reiskytl Darrin Zimmerman Risk Management Task Force Update Agenda Risk Management Section Formation CAS/SOA
More informationMarket Risk: FROM VALUE AT RISK TO STRESS TESTING. Agenda. Agenda (Cont.) Traditional Measures of Market Risk
Market Risk: FROM VALUE AT RISK TO STRESS TESTING Agenda The Notional Amount Approach Price Sensitivity Measure for Derivatives Weakness of the Greek Measure Define Value at Risk 1 Day to VaR to 10 Day
More informationInterest Rate Risk. Asset Liability Management. Asset Liability Management. Interest Rate Risk. Risk-Return Tradeoff. ALM Policy and Procedures
Interest Rate Risk Asset Liability Management The potential significant changes in a bank s profitability and market value of equity due to unexpected changes in interest rates Reinvestment rate risk Interest
More informationAsset Liability Management. Craig Roodt Australian Prudential Regulation Authority
Asset Liability Management Craig Roodt Australian Prudential Regulation Authority Outline of Topics 1. ALM Defined 2. Role of ALM in the Organisation 3. Some History 4. Main Approaches - Measurement 5.
More informationUnlisted Assets and Enterprise Risk Management
Unlisted Assets and Enterprise Risk Management Emilian Belev, CFA, ARPM May 2014 The Unlisted Assets Problem MPT is not common jargon in real estate investment departments Unlisted investment experts tend
More informationJune 7, The Hartford Financial Services Group, Inc. Smith Barney Annuity & Life Risk Management Seminar
The Hartford Financial Services Group, Inc. Smith Barney Annuity & Life Risk Management Seminar Craig R. Raymond Senior VP & Chief Risk Officer June 7, 2005 Safe Harbor Statement Certain statements made
More informationUsing Eris Swap Futures to Hedge Mortgage Servicing Rights
Using Eris Swap Futures to Hedge Mortgage Servicing Rights Introduction Michael Riley, Jeff Bauman and Rob Powell March 24, 2017 Interest rate swaps are widely used by market participants to hedge mortgage
More informationILA LRM Model Solutions Fall Learning Objectives: 1. The candidate will demonstrate an understanding of the principles of Risk Management.
ILA LRM Model Solutions Fall 2015 1. Learning Objectives: 1. The candidate will demonstrate an understanding of the principles of Risk Management. 2. The candidate will demonstrate an understanding of
More informationModel Governance: Is YOUR Company There Yet? Past, Present and Future of Model Governance. Moderator: Ronald J. Harasym, FSA, CERA, FCIA, MAAA
Model Governance: Is YOUR Company There Yet? Past, Present and Future of Model Governance Moderator: Ronald J. Harasym, FSA, CERA,, FCIA, MAAA Presenters: Dave Czernicki, FSA, MAAA Ronald J. Harasym, FSA,
More informationInvestment Symposium March F7: Investment Implications of a Principal-Based Approach to Capital. Moderator Ross Bowen
Investment Symposium March 2010 F7: Investment Implications of a Principal-Based Approach to Capital David Wicklund Arnold Dicke Moderator Ross Bowen Investment Implications of a Principle Based Approach
More informationSchroder ISF Global Convertible Bond
Product Description Investment Objective The Schroder product offers diversified exposure to convertible bonds issued by companies around the world. Schroders has teamed up with specialist convertible
More informationRisk & Capital Management Under Basel III and IFRS 9 This course can also be presented in-house for your company or via live on-line webinar
Risk & Capital Management Under Basel III and IFRS 9 This course can also be presented in-house for your company or via live on-line webinar The Banking and Corporate Finance Training Specialist Course
More informationRisk & Capital Management Under Basel III and IFRS 9 This course is presented in London on: May 2018
Risk & Capital Management Under Basel III and IFRS 9 This course is presented in London on: 14-17 May 2018 The Banking and Corporate Finance Training Specialist Course Objectives Participants Will: Understand
More informationContemporary Challenges in the Asset Liability Management in Banks
Contemporary Challenges in the Asset Liability Management in Banks This in-house course can also be presented face to face in-house for your company or via live in-house webinar The Banking and Corporate
More informationInforce Management 2014 ACHS Fall Meeting
Inforce Management 2014 ACHS Fall Meeting November 11, 2014 Dave Wiland, FSA, CERA, MAAA, CFA IMPORTANT INFORMATION The information in this presentation is intended to be generic in nature to help foster
More informationFund and Portfolio Management
Fund and Portfolio Management A 2-day course This course can be presented in-house or via webinar for you on a date of your choosing The Banking and Corporate Finance Training Specialist Course Overview
More informationPension Crisis and Solutions. Ryan ALM, Inc. - The Solutions Company RyanALM
Pension Crisis and Solutions - 1-888-RyanALM www.ryanalm.com Pension Plan Objective 2 Pension Cost No Cost = Assets Fully Fund Liabilities (No Required Minimum Contributions) (Pension Holiday) High Cost
More informationASSET/LIABILITY MANAGEMENT - YEAR 2
ASSET/LIABILITY MANAGEMENT - YEAR 2 Interest Rate Risk Measurement & Management Raleigh A. Trovillion Executive Vice President UMB Bank Investment Division St. Louis, MO raleigh.trovillion@umb.com 314-612-8039
More informationPension Investment Strategy and Pension Risk Transfer. Adapted for Mid-Atlantic Actuarial Club Annual Meeting September 11, 2014
Pension Investment Strategy and Pension Risk Transfer Adapted for Mid-Atlantic Actuarial Club Annual Meeting September 11, 2014 Derisking costs Cost as % of ongoing liability* ACTIVE VESTED RETIREE TYPICALPLAN
More informationAmbition AXA Investor Day June 1, US Life. Mark Pearson President & CEO of AXA in the US
Ambition AXA Investor Day June 1, 2011 US Life Mark Pearson President & CEO of AXA in the US Cautionary note concerning forward-looking statements Certain statements contained herein may constitute forward-looking
More informationSession 3B, Stochastic Investment Planning. Presenters: Paul Manson, CFA. SOA Antitrust Disclaimer SOA Presentation Disclaimer
Session 3B, Stochastic Investment Planning Presenters: Paul Manson, CFA SOA Antitrust Disclaimer SOA Presentation Disclaimer The 8 th SOA Asia Pacific Annual Symposium 24 May 2018 Stochastic Investment
More informationModerator: Eric Michel Fournier ASA,MAAA. Presenters: Eric Michel Fournier ASA,MAAA Jean-Frederic Breton Aymeric Kalife Phil Weeber
Session 17: ERM Considerations Related to Hedging Program and Derivative use Plan Moderator: Eric Michel Fournier ASA,MAAA Presenters: Eric Michel Fournier ASA,MAAA Jean-Frederic Breton Aymeric Kalife
More informationArticle from: Risks & Rewards. August 2014 Issue 64
Article from: Risks & Rewards August 2014 Issue 64 MEASURING THE COST OF DURATION MISMATCH USING LEAST SQUARES MONTE CARLO (LSMC) By Casey Malone and David Wang Duration matching is perhaps the best-known
More informationThis session will use polling.
This session will use polling. Access via: VCIA s Conference App or www.vcia.cnf.io 3 OR 2 1 Go to the Polling Icon on the VCIA App Go to www.vcia.cnf.io Click on the session you would like to join. 1.
More informationManaged Risk Alternatives for V-Shaped Markets. Chris Onken, FSA, MAAA
Managed Risk Alternatives for V-Shaped Markets Chris Onken, FSA, MAAA Managed Risk Alternatives for V-Shaped Markets CHRIS ONKEN, FSA, MAAA Consulting Actuary, Milliman November 15, 2016 (1030 1200 hours)
More information2. A FRAMEWORK FOR FIXED-INCOME PORTFOLIO MANAGEMENT 3. MANAGING FUNDS AGAINST A BOND MARKET INDEX
2. A FRAMEWORK FOR FIXED-INCOME PORTFOLIO MANAGEMENT The four activities in the investment management process are as follows: 1. Setting the investment objectives i.e. return, risk and constraints. 2.
More information2016 Embedded Value Report for Manulife s Insurance and Other Wealth Businesses (Excludes the value of in-force business for Wealth and Asset
2016 Embedded Value Report for Manulife s Insurance and Other Wealth Businesses (Excludes the value of in-force business for Wealth and Asset Management, Bank and Property and Casualty Reinsurance businesses)
More informationComparison of Capital Adequacy Requirements to Market Risks According Internal Models and Standardized Method
Charles University, Prague Faculty of Social Sciences Institute of Economic Studies Comparison of Capital Adequacy Requirements to Market Risks According Dissertation 2005 Jindra Klobásová Institute of
More informationInsights. Variable Annuity Hedging Practices in North America Selected Results From the 2011 Towers Watson Variable Annuity Hedging Survey
Insights October 2011 Variable Annuity Hedging Practices in North America Selected Results From the 2011 Towers Watson Variable Annuity Hedging Survey Introduction Hedging programs have risen to prominence
More informationMORNING SESSION. Date: Friday, May 11, 2007 Time: 8:30 a.m. 11:45 a.m. INSTRUCTIONS TO CANDIDATES
SOCIETY OF ACTUARIES Exam APMV MORNING SESSION Date: Friday, May 11, 2007 Time: 8:30 a.m. 11:45 a.m. INSTRUCTIONS TO CANDIDATES General Instructions 1. This examination has a total of 120 points. It consists
More informationLecture Materials ASSET/LIABILITY MANAGEMENT YEAR 2
Lecture Materials ASSET/LIABILITY MANAGEMENT YEAR 2 Raleigh A. Andy Trovillion Executive Vice President UMB Bank St. Louis, Missouri raleigh.trovillion@umb.com 800-433-5962 August 1, 2017 INTEREST RATE
More informationAdvanced Portfolio Management Exam Spring 2010
Important Exam Information: Exam Date and Time Exam Registration Study Note Order Form Introductory Study Note Case Study Formula Package (update 02.18.10) Table Past Exams Updates A read-through time
More informationDraft comments on DP-Accounting for Dynamic Risk Management: a Portfolio Revaluation Approach to Macro Hedging
Draft comments on DP-Accounting for Dynamic Risk Management: a Portfolio Revaluation Approach to Macro Hedging Question 1 Need for an accounting approach for dynamic risk management Do you think that there
More informationVariable Annuity Volatility Management: An Era of Risk Control
Equity-Based Insurance Guarantees Conference Nov. 6-7, 2017 Baltimore, MD Variable Annuity Volatility Management: An Era of Risk Control Berlinda Liu Sponsored by Variable Annuity Volatility Management:
More informationFinancial Risk Management for the Life Insurance / Wealth Management Industry. Wade Matterson
Financial Risk Management for the Life Insurance / Wealth Management Industry Wade Matterson Agenda 1. Introduction 2. Products with Guarantees 3. Understanding & Managing the Risks INTRODUCTION The Argument
More informationSOCIETY OF ACTUARIES Enterprise Risk Management Investment Extension Exam ERM-INV
SOCIETY OF ACTUARIES Exam ERM-INV Date: Tuesday, October 7, 015 Time: 8:30 a.m. 1:45 p.m. INSTRUCTIONS TO CANDIDATES General Instructions 1. This examination has a total of 80 points. This exam consists
More informationsubmitted to the Journal of Investment Management Risk Management of an Insurance Company Thomas S. Y. Ho President Thomas Ho Company
Draft submitted to the Journal of Investment Management Risk Management of an Insurance Company By Thomas S. Y. Ho President Thomas Ho Company 55 Liberty Street New York NY 10005-1003 November 2003 Abstract
More informationPart II 2011 Syllabus:
Part II 2011 Syllabus: Part II 2011 is comprised of Part IIA The Actuarial Control Cycle and Part IIB Investments and Asset Modelling. Part IIA The Actuarial Control Cycle The aim of the Actuarial Control
More informationLeast Squares Monte Carlo (LSMC) life and annuity application Prepared for Institute of Actuaries of Japan
Least Squares Monte Carlo (LSMC) life and annuity application Prepared for Institute of Actuaries of Japan February 3, 2015 Agenda A bit of theory Overview of application Case studies Final remarks 2 Least
More informationLecture 9: Practicalities in Using Black-Scholes. Sunday, September 23, 12
Lecture 9: Practicalities in Using Black-Scholes Major Complaints Most stocks and FX products don t have log-normal distribution Typically fat-tailed distributions are observed Constant volatility assumed,
More informationFinance Science, Financial Innovation and Long-Term Asset Management
Finance Science, Financial Innovation and Long-Term Asset Management Robert C. Merton Massachusetts Institute of Technology New Developments in Long-Term Asset Management London, UK May 19, 2017. Domain
More informationPractical application of Liquidity Premium to the valuation of insurance liabilities and determination of capital requirements
28 April 2011 Practical application of Liquidity Premium to the valuation of insurance liabilities and determination of capital requirements 1. Introduction CRO Forum Position on Liquidity Premium The
More informationFuel Hedging. Management. Strategien for Airlines, Shippers, VISHNU N. GAJJALA
Fuel Hedging andrisk Management Strategien for Airlines, Shippers, and Other Consumers S. MOHAMED DAFIR VISHNU N. GAJJALA WlLEY Contents Preface Acknovuledgments Almut the Aiithors xiii xix xxi CHAPTER
More informationInvestment Symposium March F1: What Are We Hedging Anyway? GAAP, Stat, or Economics? Moderator Jay Musselman
Investment Symposium March 2010 F1: What Are We Hedging Anyway? GAAP, Stat, or Economics? Ross Bowen James Lloyd Moderator Jay Musselman F1 What Are We Hedging Anyway? GAAP, Stat, or Economic? Ross Bowen,
More informationGeorgia Banking School
GEORGIA BANKERS ASSOCIATION Georgia Banking School Asset/Liability Management II 2017 Georgia Banking School May 10, 2017 Joel Updegraff Managing Director, ALM SunTrust Robinson Humphrey Important Disclosure
More informationThe Submission of. William M. Mercer Limited. The Royal Commission on Workers Compensation in British Columbia. Part B: Asset/Liability Study
The Submission of William M. Mercer Limited to Workers Compensation Part B: Prepared By: William M. Mercer Limited 161 Bay Street P.O. Box 501 Toronto, Ontario M5J 2S5 June 4, 1998 TABLE OF CONTENTS Executive
More informationAsset Liability Management for Defined Benefit Plans. May 22, 2014
Asset Liability Management for Defined Benefit Plans May 22, 2014 Introduction The most important strategic investment decision for a pension plan is asset allocation A research study by Brinson, Hood,
More informationFrank J. Fabozzi, CFA
SEVENTH EDITION Frank J. Fabozzi, CFA Professor in the Practice of Finance Yale School of Management Boston San Francisco New York London Toronto Sydney Tokyo Singapore Madrid Mexico City Munich Paris
More informationINTEREST RATES AND FX MODELS
INTEREST RATES AND FX MODELS 7. Risk Management Andrew Lesniewski Courant Institute of Mathematical Sciences New York University New York March 8, 2012 2 Interest Rates & FX Models Contents 1 Introduction
More informationPricing Variable Annuity
Pricing Variable Annuity Guaranteed Minimum Withdrawal Benefit Features in a Challenging Market insights The variable annuity (VA) market has experienced a rough ride over the past year. The economic crisis
More informationGlossary of Swap Terminology
Glossary of Swap Terminology Arbitrage: The opportunity to exploit price differentials on tv~otherwise identical sets of cash flows. In arbitrage-free financial markets, any two transactions with the same
More informationSession 70, PBR, VM 20, AG 48, and Investment Strategy: Are Changes Ahead? Moderator: Alan J. Routhenstein, FSA, MAAA
Session 70, PBR, VM 20, AG 48, and Investment Strategy: Are Changes Ahead? Moderator: Alan J. Routhenstein, FSA, MAAA Presenter: Jason E. Kehrberg, FSA, MAAA Alexandre Lemieux, FSA, MAAA Alan J. Routhenstein,
More information2015 Embedded Value Report for Manulife s Insurance and Other Wealth Business (Excludes our Wealth and Asset Management, Bank and Property and
2015 Embedded Value Report for Manulife s Insurance and Other Wealth Business (Excludes our Wealth and Asset Management, Bank and Property and Casualty Reinsurance businesses) Background: Embedded Value
More informationALCO: The Fundamentals
ALCO: The Fundamentals Presented by: Urum Urumoglu Senior Consultant Urum@farin.com 800-236-3724 ext. 4210 1 What Is Asset/Liability Management? Asset/Liability Management (ALM) is the process of planning,
More informationWHITE PAPER THINKING FORWARD ABOUT PRICING AND HEDGING VARIABLE ANNUITIES
WHITE PAPER THINKING FORWARD ABOUT PRICING AND HEDGING VARIABLE ANNUITIES We can t solve problems by using the same kind of thinking we used when we created them. Albert Einstein As difficult as the recent
More informationActuarial Control Cycle A1
ACST4031 Actuarial Control Cycle A1 The aim of the Actuarial Control Cycle is to provide students with an understanding of underlying actuarial principles that may be applied to a range of problems and
More informationStochastic Modeling Concerns and RBC C3 Phase 2 Issues
Stochastic Modeling Concerns and RBC C3 Phase 2 Issues ACSW Fall Meeting San Antonio Jason Kehrberg, FSA, MAAA Friday, November 12, 2004 10:00-10:50 AM Outline Stochastic modeling concerns Background,
More informationThe Hartford Financial Services Group
May 23, 2006 Investor Day The Hartford Financial Services Group Enterprise Risk Management David Johnson Executive Vice President Chief Financial Officer The Hartford Financial Services Group, Inc. Safe
More informationStochastic Analysis Of Long Term Multiple-Decrement Contracts
Stochastic Analysis Of Long Term Multiple-Decrement Contracts Matthew Clark, FSA, MAAA and Chad Runchey, FSA, MAAA Ernst & Young LLP January 2008 Table of Contents Executive Summary...3 Introduction...6
More information2016 Variable Annuity Guaranteed Benefits Survey Survey of Assumptions for Policyholder Behavior in the Tail
2016 Variable Annuity Guaranteed Benefits Survey Survey of Assumptions for Policyholder Behavior in the Tail October 2016 2 2016 Variable Annuity Guaranteed Benefits Survey Survey of Assumptions for Policyholder
More informationAsset/Liability Management Series Session 1 Presenter: Sasha Khandoker ALM Analyst
Asset/Liability Management Series Session 1 Presenter: Sasha Khandoker ALM Analyst 1 2 1 What is ALM? Why are we asked to perform ALM? What is the goal of ALM? How can we use it? 3 Creating and managing
More informationMORNING SESSION. Date: Thursday, November 1, 2018 Time: 8:30 a.m. 11:45 a.m. INSTRUCTIONS TO CANDIDATES
Quantitative Finance and Investment Advanced Exam Exam QFIADV MORNING SESSION Date: Thursday, November 1, 2018 Time: 8:30 a.m. 11:45 a.m. INSTRUCTIONS TO CANDIDATES General Instructions 1. This examination
More informationGimmel: Second Order Effect of Dynamic Policyholder Behavior on Insurance Products with Embedded Options
Gimmel: Second Order Effect of Dynamic Policyholder Behavi on Insurance Products with Embedded Options By John J. Wiesner, Charles L. Gilbert and David L. Ross THE GLOBAL FINANCIAL CRISIS THAT STARTED
More informationAlpha, Beta, and Now Gamma
Alpha, Beta, and Now Gamma Scott Mackenzie President & CEO Morningstar Canada 2013 Morningstar. All Rights Reserved. These materials are for information and/or illustrative purposes only. The Morningstar
More informationUnderstanding An Insurer's Complex Investment Portfolio
Understanding An Insurer's Complex Investment Portfolio Robert D. Selvaggio, Ph.D. Robert D. Selvaggio, Ph.D. Co-Owner and Head of Analytics 212-949-1184 rselvaggio@rutterassociates.com IRES 2017 Career
More informationEBF RESPONSES TO THE IASB DISCUSSION PAPER ON ACCOUNTING FOR DYNAMIC RISK MANAGEMENT: A PORTFOLIO REVALUATION APPROACH TO MACRO HEDGING
EBF_010548 17.10.2014 APPENDIX EBF RESPONSES TO THE IASB DISCUSSION PAPER ON ACCOUNTING FOR DYNAMIC RISK MANAGEMENT: A PORTFOLIO REVALUATION APPROACH TO MACRO HEDGING QUESTION 1 NEED FOR AN ACCOUNTING
More informationMANAGING INTEREST RATE RISK: SETTING THE STAGE FOR TOMORROW MIKE DELISLE, ALM ADVISORS GROUP
MANAGING INTEREST RATE RISK: SETTING THE STAGE FOR TOMORROW MIKE DELISLE, ALM ADVISORS GROUP WVBA Convention July 29, 2014 Agenda Evaluating and Anticipating the Rate Environment Understanding Your Current
More informationINSTITUTE OF ACTUARIES OF INDIA
INSTITUTE OF ACTUARIES OF INDIA EXAMINATIONS 06 th May 2016 Subject ST6 Finance and Investment B Time allowed: Three Hours (10.15* 13.30 Hrs) Total Marks: 100 INSTRUCTIONS TO THE CANDIDATES 1. Please read
More informationFiduciary Insights. IMPLEMENTING LIABILITY- DRIVEN INVESTING: Not a Day at the Beach
IMPLEMENTING LIABILITY- DRIVEN INVESTING: Not a Day at the Beach THE THEORETICAL PROMISE OF LDI MUST BE MATCHED BY EXCELLENCE IN IMPLEMENTATION. Best practices in investment policy, active management,
More informationACTUARIAL GUIDELINE 49 DOUGLAS BROWN, ASA, MAAA ALLEN BAILEY & ASSOCIATES
ACTUARIAL GUIDELINE 49 DOUGLAS BROWN, ASA, MAAA ALLEN BAILEY & ASSOCIATES ILLUSTRATION REGULATION LEGISLATIVE HISTORY A REGULATOR SUGGESTED THAT A PROVISION BE ADDED TO REFER TO COMPARISONS BETWEEN POLICIES,
More informationEducational Note. Reflection of Hedging in Segregated Fund Valuation
Educational Note Reflection of Hedging in Segregated Fund Valuation Committee on Life Insurance Financial Reporting May 2012 Document 212027 Ce document est disponible en français 2012 Canadian Institute
More informationWorkplace Insights. A road map for effectively managing a frozen pension plan
GLOBAL INSTITUTIONAL CONSULTING Workplace Insights A road map for effectively managing a frozen pension plan Pension funding reform, an aging workforce, low interest rates and uncertain investment returns
More informationInvestment Guarantee Product Risk Management
Investment Guarantee Product Risk Management John Nicholls All rights reserved. A licence to publish is granted to the Institute of Actuaries of Australia. Contents 1. Investment Guarantee Products 2.
More informationMeasuring Portfolio Risk
Measuring Portfolio Risk The first step to hedging is measuring risk then we can do something about it What do I mean by portfolio risk? There are a lot or risk measures used in the financial lexicon.
More informationProxy Methods for Hedge Projection: Two Variable Annuity Case Studies
MAY 2016 RESEARCH INSURANCE Proxy Methods for Hedge Projection: Two Variable Annuity Case Studies Authors Aubrey Clayton PhD Steven Morrison PhD Moody's Analytics Research Contact Us Americas +1.212.553.1658
More informationReviewing Insurance Company Investment Portfolios
Reviewing Insurance Company Investment Portfolios Presentation at Autumn 2017 Seminar by Bob Selvaggio Co-Owner and Head of Analytics, LLC +1-212-949-1180 www.rutterassociates.com Investment Risk Investment
More informationLDI Risk Management Metrics
LDI Risk Management Metrics Introduction Corporations that sponsor defined benefit pension plans have increasingly been considering liability-driven investment (LDI) strategies as an approach to manage
More informationConflicts in ALM across different capital regimes
19 April 2011 Conflicts in ALM across different capital regimes Robert Waugh Managing Director, Standard Chartered April 2011 Disclaimer This communication is issued by Standard Chartered Bank ( Standard
More informationSOCIETY OF ACTUARIES Advanced Portfolio Management Exam APMV AFTERNOON SESSION. Date: Friday, April 30, 2010 Time: 1:30 p.m. 4:45 p.m.
SOCIETY OF ACTUARIES Exam APMV AFTERNOON SESSION Date: Friday, April 30, 2010 Time: 1:30 p.m. 4:45 p.m. INSTRUCTIONS TO CANDIDATES General Instructions 1. This afternoon session consists of 11 questions
More informationCOURSE 6 MORNING SESSION SECTION A WRITTEN ANSWER
COURSE 6 SECTION A WRITTEN ANSWER COURSE 6: MAY 2001-1 - GO ON TO NEXT PAGE **BEGINNING OF COURSE 6** 1. (4 points) Describe the key features of: (i) (ii) (iii) (iv) Asian options Look-back options Interest
More informationUPDATED IAA EDUCATION SYLLABUS
II. UPDATED IAA EDUCATION SYLLABUS A. Supporting Learning Areas 1. STATISTICS Aim: To enable students to apply core statistical techniques to actuarial applications in insurance, pensions and emerging
More informationINV2601 SELF ASSESSMENT QUESTIONS
INV2601 SELF ASSESSMENT QUESTIONS 1. The annual holding period return of an investment that was held for four years is 5.74%. The ending value of this investment was R1 000. Calculate the beginning value
More informationLDI Fundamentals: Is Our Strategy Working?
LDI Fundamentals: Is Our Strategy Working? A survey of pension risk management metrics Pension plan sponsors have increasingly been considering liability driven investment (LDI) strategies as an approach
More informationALCO: The Fundamentals
ALCO: The Fundamentals Presented by: David Koch Chief Operating Officer dkoch@farin.com 800-236-3724 ext. 4217 1 What Is Asset/Liability Management? Asset/Liability Management (ALM) is the process of planning,
More informationPublic Disclosure Authorized. Public Disclosure Authorized. Public Disclosure Authorized. cover_test.indd 1-2 4/24/09 11:55:22
cover_test.indd 1-2 4/24/09 11:55:22 losure Authorized Public Disclosure Authorized Public Disclosure Authorized Public Disclosure Authorized 1 4/24/09 11:58:20 What is an actuary?... 1 Basic actuarial
More information