Current Trends in ALM - Actuary.com

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Risk and Return Measures Earnings ROI ROE Probability of Negative Earnings Present Value of Distributable Earnings Present Value of Future Statutory Earnings Present Value of Book Profits Earnings at Risk Surplus Probability of Negative Surplus Present Value of Future Surplus Market Value of Surplus Other Surplus-related Measures Other % of Respondents 79% 32 28 17 15 9 6 4 32% 13 9 6 4 9% 12
Types of Scenarios Used Asset/Liability Management − Testing Surplus Adequacy − Testing Reserve Adequacy − Duration/Convexity Calculations − Testing Alternative Investment Strategies Planning − Capital/Dividends − GAAP Earnings Embedded Value GAAP (FAS97 source of profit) Risk Management C-3 Scenario Testing Stochastic 36% 47 60 80 5 6 8 0 82 78 Deterministic 77% 89 40 24 95 94 92 100 18 22 13
Page 1 and 2: Current Trends in ALM Results of th
Page 3 and 4: Benefits to Participants • Assist
Page 5 and 6: Embedded Value % of Respondents Per
Page 7 and 8: Embedded Value • Recent use among
Page 9 and 10: Testing Alternative Investment Stra
Page 11: Asset/Liability Levers Product Desi
Page 15 and 16: Types of Scenarios Used Asset/Liabi
Page 17 and 18: Number of Scenarios Asset/Liability
Page 19 and 20: Model Run-Time Summary of Model Run
Page 21 and 22: Model Consolidation • Definition:
Page 23 and 24: Model Accuracy • Gauged by perfor
Page 25 and 26: C-3 Phase II • Proposal addresses
Page 27: C-3 Phase II • We advise that com

Current Trends in ALM - Actuary.com

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