Current Trends in ALM - Actuary.com
Current Trends in ALM - Actuary.com
Current Trends in ALM - Actuary.com
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Types of Scenarios Used<br />
Asset/Liability Management<br />
− Test<strong>in</strong>g Surplus Adequacy<br />
− Test<strong>in</strong>g Reserve Adequacy<br />
− Duration/Convexity Calculations<br />
− Test<strong>in</strong>g Alternative Investment Strategies<br />
Plann<strong>in</strong>g<br />
− Capital/Dividends<br />
− GAAP Earn<strong>in</strong>gs<br />
Embedded Value<br />
GAAP (FAS97 source of profit)<br />
Risk Management<br />
C-3 Scenario Test<strong>in</strong>g<br />
Stochastic<br />
36%<br />
47<br />
60<br />
80<br />
5<br />
6<br />
8<br />
0<br />
82<br />
78<br />
Determ<strong>in</strong>istic<br />
77%<br />
89<br />
40<br />
24<br />
95<br />
94<br />
92<br />
100<br />
18<br />
22<br />
14
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