Asset Liability Management (ALM) – Dynamic Hedging Strategies

Key objectives:

The Asset Liability Management (ALM) – Dynamic Hedging Strategies Working Party has two key areas of focus:

• rationale for hedging (practicalities, value)
• regulation (i.e. Solvency II and matching adjustment).

The Dynamic Hedging Working Party was established to look at techniques used by life companies to hedge market risk. We have conducted a survey to assess attitudes and typical practices across the industry in the UK.  The results are summarised in this paper and give a reflection of industry hedging practices on the cusp of Solvency II finally becoming a reality.  One of the Working Party’s key objectives is to ‘challenge the norm’, and assess to what extent the industry could benefit from increased usage of more sophisticated dynamic hedging techniques.  We would welcome any comments or discussions arising from the paper via practice.executive@actuaries.org.uk

Outputs:

• report describing the output on a recent survey on life assurance dynamic hedging practice - 14 September 2016