For an insurance company, ensuring the proper coordination between assets and liabilities in order to achieve targeted financial objectives is of paramount interest. A strategy used to reach such objectives is “asset and liability management” (ALM in short). ALM can therefore be viewed as any ongoing process that defines, implements and monitors financial strategies to manage assets and liabilities together.
In recent years, the modelling tools used in ALM strategies have become increasingly sophisticated and the technical aspects of current insurance regulation have increased. As a result, some ALM aspects have become more and more difficult to understand and master.The aim of this masterclass is to:
- Define what ALM is and describe the typical missions of an ALM department in an insurance company
- Present the financial risks on which ALM classically focus as well as the requirements of the Solvency II regulation for insurance companies
- Describe the essential quantitative ALM tools and methods used by insurance companies to evaluate and mitigate the risks
- Illustrate the different concepts through numerical examples and case studies to make it practical and not just theoretical