Knowledge | Organisations | Publications | Portals

Knowledge

None listed at present.

Organisations

None listed at present

Publications

Pensions, funding and risk
by R J Chapman; T J Gordon; C A Speed. Paper presented to the Actuarial profession. Apr 2001 [pdf]
Includes a discussion of ALM in section 2.4.

Modern valuation techniques
by S Jarvis; F Southall; E Varnell. Paper presented to SIAS. Feb 2001 [pdf]
Covers ALM and other techniques.

The TY model
by Y H Yakoubov; M H Teeger; D B Duval. Paper presented to SIAS. Nov 1999 [pdf]
Describes a recently developed investment model designed for practical asset/liability management for financial institutions in the UK. The model captures a number of key features of the UK investment market. All the equations and parameters of the model are included, making this one of the few fully published models in this area.

DFA, the Value at Risk
by Stavros Christofides and Andrew D Smith. Paper presented to the Casualty Actuarial Society Forum. Spring 2001 [pdf]
This paper describes the use of a Dynamic Financial Analysis (DFA) model to answer questions on capitalisation, business and asset strategy in the case of a US P&C insurer, in the framework of maximising stockholder wealth. This wealth is measured by applying a risk measure on the individual stochastic cash flows from the DFA model, in preference to more conventional approaches based, for example, on historic betas.
The risk translates into value by two mechanisms. For systematic risk, a multiple-factor arbitrage-free pricing approach is implemented using explicit deflator processes. Both systematic and non-systematic risks generate frictional costs, which are modelled explicitly as contingent losses using a family of frictional cost functions which are a generalisation of the Wang proportional hazards transform. These costs are generally overlooked in ALM and DFA analysis. These frictional costs are allocated back to each simulation so as to produce realistic, rather than idealistic, financial statements which then enable us to look at capitalisation issues as well as valuation ones. This approach to risk definition is consistent with the recent findings of the CAS Risk Premium Project (RPP).

Other Portals

None listed at present

Return to Knowledge Portal home page