Asset liability management
Inverted swap spreads change insurer’s and pension fund’s hedging approach
Inverted swap spreads have defied earlier predictions that they were a short-term aberration to still be a feature 18 months after their first appearance. Is this set to continue and, if so, does it pose an opportunity for pension schemes and insurers?…
Solvency sanctuary?
Asian insurance companies have sat up and paid attention to their solvency ratios during the past two years like never before. This has led to unprecedented levels of derivatives take-up. But will this conversion to derivatives last?
Defining dependence - the changing face of asset class correlation
Diversification let the industry down in the last two years, as alternative asset classes moved in tandem with equity and fixed income. With its estimation so volatile, and its theoretical validity tarnished, correlation’s role in risk management is…
Understanding policyholder behaviour is crucial to the success of ALM and replicating portfolio strategies
Born of interest rate volatility, dynamic policyholder behaviour is a variable no insurer can afford to ignore – yet modelling it is problematic. How are companies adapting to the new market conditions?
MCEV provided reliable company values in recent economic turmoil argues Allianz’s Tom Wilson
The emergence of market-consistent embedded value has proved challenging for insurance traditionalists, but Tom Wilson, chief risk officer of Allianz, argues that not only has it provided an accurate reflection of shareholder value in the recent volatile…
PBGC deficit triples to record $33.5 billion
The US Pension Benefit Guaranty Corporation (PBGC) has posted a record deficit of $33.5 billion for the six months to March 31, tripling its previous deficit of $11 billion for the 2008 financial year.
Vanilla option replication for ALM shortfall risk
Technical papers
Downward spiral
ALM
Safety first?
German Asset Allocation
Benefit over the long term
Sponsored Round Table
LDI and beyond
Pension Risk Management
Through the looking glass
ABS Valuations
Tree of Knowledge
Technology