Contents
The ALM problem
The ALM toolkit – Assets
The ALM toolkit – Liabilities
Role of a credible model
The actuary as the ALM manager
The ALM Problem – the business of a life insurer
Liabilities
Sales
Proceeds
Shareholder
Capital
Assets
Investment/Own use
Business costs
(expenses, tax,etc)
Policyholder
Benefits/Bonuses
Shareholder Profit
“Reserves”
Free
Assets
Policy holders
Certainty of the insurer being able to meet guarantees
Insurer’s ability of providing attractive discretionary benefits
?Share holders
High rate of return on investment in the long run (certainly not negative)
A level of fluctuation in profits commensurate with the required rate of return
What’s in common
Highest possible rate of return
For the lowest risk
They are “loss averse”
The ALM Problem – desires of stakeholders
High level of assets and liabilities
Profit is the difference of 4 large numbers
[Total Assets (t) – Total Assets (t-1)] – [Total Liabs (t) – Total Liabs (t-1)]
Subject to both internal and external influences
Policies sold today affect profits far into the future
An assurance is made at the sale
That assurance is contingent
Not just a financial assurance
?Demographic
Policyholder behaviour
Operational experience (expenses, etc.)
Future regulatory changes
Profit is inherently unstable and unpredictable
The ALM Problem – the challenge for a life company
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