Asset/Liability Modelling

Sebastian Tan ( sebtan@singnet.com.sg )
Fri, 16 Jan 98 22:58:53 PST

I was reading some materials on asset/liability modelling, and found it to be an interesting topic.
However, it does not seem to be as widely practiced as desired. (This is probably because
actuaries are more involved in the liability aspects (reserves) of the balance sheet.)

I would like to hear from actuaries who are involved in investments especially in respect of

* the types of asset/liability models used,

* the approach used to determine the mix of assets backing the policyholder funds and the
shareholder funds.

* do you deviate from a duration matched strategy in respect of the assets backing the reserves,
and if so how is this justified besides the benefit of higher returns?

* any papers (with a practical perspective) you would recommend

Thanks in advance for your comments.

Sebastian