Stochastic Asset Liability Modelling Working Party report

Document description

From the outset the working party assumed that it would not be able to complete its task within a one year time horizon. It would require three years to conclude targets. Consequently this is an interim report. We however provide some food for thought and we would very much welcome any input. The following terms of reference were agreed: To produce a framework so that an actuary working in the area of Asset Liability Modelling (ALM) can judge their work. Hence the actuary can determine whether their work is in line with current thinking on ALM. Four sub groups of the working party were set up to undertake the more detailed work: Investment models; Liability models; Correlations between asset variables and liabilities variables; Asset liability modelling techniques and uses.