Also realize that Dynamic Financial Analysis revolves around how to
incorporate the asset side of the balance sheet into P/C actuarial analyses.
I believe you can get copies of the papers presented at last year's DFA
seminar from the CAS for more information on this hot topic.
----------
From: David.Ruhm@AIG.com
To: Roth,Daniel G.; casnet@lists.casact.org
Subject: RE: Asset/Liability Modelling
Date: Friday, January 16, 1998 2:58PM
There are several papers on the Part 10 syllabus that pertain to this
topic: Panning (outstanding observations), Noris, Ferguson, and
Feldblum's "Asset-Liability Matching for P/C Insurers". A number of
authors have stated that duration matching is unnecessarily
conservative, and produces a less-than-optimal return. - David Ruhm
> -----Original Message-----
> From: sebtan@singnet.com.sg-@-INETGW
> Sent: Friday, January 16, 1998 12:49 PM
> To: Ruhm, David; casnet@lists.casact.org-@-INET
> Subject: Asset/Liability Modelling
>
> 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
>
>
>
>
>
>
>
>
>
> Visit the CAS Web Site at http://www.casact.org
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