ERM-112-12: Revisiting the Role of Insurance Company ALM within a Risk Management Framework


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Reading Source: http://www.goldmansachs.com/gsam/docs/instgeneral/general_materials/whitepaper/wp_revisiting_role_of_ins_co_alm.pdf

Topics Covered in this Reading

  • Executive Summary
  • Complex Landscape for Insurers
  • History of the Financial Crisis from US Life Insurers’ Perspective
  • Unrealized Losses via AOCI
  • Severe Drop in Market Capitalization
  • Falling RBC Rates
  • Changing Portfolio Allocations
  • Raising Capital
  • Playing Offense and Defense
  • A Game-Changing Approach?
  • GSAM’s ALM and SAA Process
  • Case Study: Integrated Framework for ALM and SAA
  • Case Study Liability Profile
  • Asset-Only Risk Framework (Portfolio Volatility)
  • Asset and Liability Risk Framework (Surplus Volatility)
  • Comparing Approaches 2 and 3 Under a Regulatory Capital Framework
  • Conclusion

ERM-112-12: Revisiting the Role of Insurance Company ALM within a Risk Management Framework