Asset liability matching and modelling

Document description

This Working Party was formed to make a start on identifying the asset related issues that are likely to be important to the successful management of a general insurance operation. There is growing support for the view that in due course actuaries working in general insurance will be required to widen their areas of activity from reserving, pricing and business management to include asset strategy and related risk issues.Initial support for the Working Party failed to materialise and in practice only two members participated. Recognising this resource limitation, and the relatively little practical work currently done on the asset side by actuaries within general insurance organisations. this paper has the following limited objectives:1. Identify the key issues for effective Asset/Liability Management, including risk related return2. Provide information on published research3. Provide information on some practical work undertaken by actuaries4. Stimulate discussion, interest and support for further research.