1 / 8

Appointed Actuary Seminar September 21, 2004 Montréal, Québec

UPDATE: CIA WORKING GROUP ON ASSET LIABILITY MANAGEMENT Charles L. Gilbert (Chairperson) Dave Gilliland Gilbert Lacoste Catherine Murphy David Ross Ted Steven. Appointed Actuary Seminar September 21, 2004 Montréal, Québec. CIA Working Group on ALM formed in 2000.

china
Download Presentation

Appointed Actuary Seminar September 21, 2004 Montréal, Québec

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. UPDATE:CIA WORKING GROUP ON ASSET LIABILITY MANAGEMENTCharles L. Gilbert (Chairperson)Dave GillilandGilbert LacosteCatherine MurphyDavid RossTed Steven Appointed Actuary Seminar September 21, 2004 Montréal, Québec

  2. CIA Working Group on ALM formed in 2000 • Further education and research in the area of ALM • Survey industry practice • Identify areas where there exists a wide range of practice or where techniques not well developed • Improve understanding of life insurance practices compared to banking practices • Promote ALM best practices

  3. Key activities: 2000 – present Focus Group Mtg ALM PA created Meetings w/CALMA Quarterly ALMPA meetings across North America • Meetings w/ • OSFI • Banking Reps Survey on Industry Practice χ χ χ χ χ 2002 2003 2004 2000 2001

  4. Current ALM issues insurance companies facing • Low interest rate environment • previously mismatched portfolios now face reinvestment at lower rates than assumed in pricing guaranteeing loss • No fixed income assets available to match long term liabilities • no more 30 year government • Significant credit exposure • pressure to make spreads • Equity market volatility • proliferation of equity-based products • investment guarantees = embedded derivatives • fee income is based on AUM

  5. Companies deal with many internal challenges • Pre-funding problem for products that have positive liability cash flows in early years • assets not available at issue to fund future benefits • substantial reinvestment exposure arises from early net cash flows • Cost of enriched guarantees not priced • Q-measure price is substantially higher than actual price of product • Par may have little or no room in dividend scale • treat as guaranteed product if unable to pass on adverse experience • Basis risk on pass-through products • Lack of diversification of liability portfolio • Impact of changes in assumptions

  6. “Living” document captures current practice • Wide range of practice exists in some areas • projecting cash flows with MfADs • modeling equities • Document records all discussion points • objective to reflect current practice (for better or for worse) • “Unsound” practices to be identified • Best Practices to be described

  7. Future deliverables: Other Developments Educational Note Discussion Point Doc ALM List Serve ALMPA Mtgs

  8. Your opportunity to define ALM practice  Get involved  Join the ALM PA today  Attend meeting this afternoon at 3:00PM

More Related