Current Trends in ALM - Actuary.com

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2002 Tillinghast Cash Flow Testing Survey • Survey sent to 84 companies in December 2001 • 73% response rate • Purposes: − Determine the extent to which companies are utilizing their CFT models − Determine number and types of scenarios being used in testing 2
Benefits to Participants • Assist in benchmarking current practices • Offer insights into potential expanded uses of CFT models 3
Page 1: Current Trends in ALM Results of th
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 and 12: Asset/Liability Levers Product Desi
Page 13 and 14: Types of Scenarios Used Asset/Liabi
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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