Current Trends in ALM - Actuary.com

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Testing Alternative Investment Strategies % of Respondents Performing 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 36% 90 64 51 34 39 30 41 25 46 8
Testing Alternative Investment Strategies • Trend toward developing and testing alternative investment strategies • Candidate Analysis vs. True Optimization 9
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: Embedded Value • Recent use among
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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