Current Trends in ALM - Actuary.com
Current Trends in ALM - Actuary.com
Current Trends in ALM - Actuary.com
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Number of Scenarios<br />
Asset/Liability Management<br />
− Test<strong>in</strong>g Surplus 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 />
100<br />
100<br />
100<br />
100<br />
50<br />
300<br />
N/A<br />
400<br />
50<br />
Determ<strong>in</strong>istic<br />
8<br />
3<br />
9<br />
1<br />
1<br />
1<br />
1<br />
7<br />
12<br />
16
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