Asset and Liability Management (ALM)

  • Managing and measuring ALM risk
  • Dynamic value development of portfolios
  • Projection of financial fluxes and interactions

What?

Financial bodies need to establish "Asset & Liability Management" (ALM) techniques which take into account the dynamic interactions between assets and liabilities in order to optimise their account management. An ALM model, depending on its complexity and its sensitivity, can :

  • Measure the impact of assets on liabilities and visa versa.
  • Model a profitable participation strategy in function of the return on assets
  • Link the comportment of policy holders to the evolution of the financial markets thus developing the value of certain of their implicit options, notably in terms of reductions and buy-backs.
  • Model management rules in a dynamic way facilitating adapting certain policies in function of changing circumstances.
  • Model an investment strategy for dynamic assets in function of the balance sheet's evolution

Why?

  • Reinforce the global risk management model.
  • Evaluate the portfolio values of a company in a dynamic way by integrating management rules, and clients' options and guarantees
  • Price insurance products
  • Measure the before and after profitability of products.
  • Evaluate the economic capital and the solvability ratios (Solvency II)
  • Evaluate the balance sheet according to IFRS norms
  • Evaluate the market and insurance risks while taking into account their interactions and their impacts on both sides of the balance sheet
  • Calculate the results of the Liability adequacy test.
  • Project the company's business plan
  • Determine the company's asset management policy
  • Determine the company's hedging policy
  • Introduce and/or improve the file submitted to the CBFA under circulars CPA-2006-1-CPA and CPA-2006-2-CPA ("knipperlicht"dossier) for Belgian life assurance companies.
  • Optimise existing ALM processes under a "Fast Close" system

How?

  • Analyse existing value development procedures and tools
  • Analyse if it is opportune to install and/or develop an internal value development model in function of the situation and specificities of the company.
  • Provide support for selecting working tools.
  • Establish project planning
  • Develop and/or adapt the tool in the selected software.
  • Define the plan of model tests
  • Test the model
  • Validate the model
  • Prepare and activate the model
  • Draft the methodology
  • Ensure the transfer of "know-how"

Elips Actuarial Services teams are available to intervene and offer support during one or more of the above stages...

Who?

The Chief Financial Officers (CFO) and the Chief Risk Officers of insurance companies, pension funds, and mutual insurance bodies.

The advantages of Elips Actuarial Services ?

Our experience

  • A team of experienced actuaries. This experience has been accumulated by our specialists during their previous functions within insurance companies and through their various missions for Elips Actuarial Services introducing Solvency II.
  • Our team of specialists has experience in the different tools which are market references for the development of models such as ALM : SAS, ReMetrica, Prophet, Matlab.
  • Our specialists can also work directly on your existing tools.

Guaranteeing results

We offer undertakings on deliverables, budget and planning.

Project management

We can manage all the organisation, delivery and follow-up on a project.

Know-how transfer - and training

We work with your teams by placing joint groups made up of your personnel and specialists from Elips Actuarial Services in your company. At the end of the project your teams are able to maintain the systems and to adapt to future portfolio changes.

Elips Actuarial Services references ?

  • Implementation and development of an ALM model for one of the top 10 Belgian insurance companies. This model on which wecontinue to work was developed using "Prophet" software and is currently used to
    • Develop portfolio values: Traditional Embedded Value (TEV) and Market Consistent EV (MCEV)
    • Calculate the eventual profitability of business (Value of New Business)
    • Establish and IFRS balance sheet
    • Meet the requirements of the CBFA in accordance with dossiers CPA-2006-1-CPA et CPA-2006-2-CPA (flashing reserve/réserve clignotante)
    • Determine capital needs under the new Solvency II (exercise QIS4) norms
  • Dossiers CPA-2006-1-CPA and CPA-2006-2-CPA for a company established under Belgian law.
  • QIS 3 and QIS 4 reports for different Belgian and Luxemburg companies.