Risk Mgmt dec 8

Risk Mgmt dec 8 - Risk Mgmt Dec 8 Risk in the balance sheet Insurance actuarial and mortality risk Alm longer term obligations therefore focuses on

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Risk Mgmt – Dec 8 Risk in the balance sheet Insurance – actuarial and mortality risk Alm – longer term obligations, therefore focuses on longer term , whether projected cf meets their long term obligations Capital Adequacy Unlike bank, theres a big distribution on both assets and liabilities (whereas banks only distribution on asset side) Bank economic capital based on asset side – with more effert of credit modelling But for insurance companies, their projection of libailities and assets is needed to calculate economic capital – market risi is more dominant on both assets and liabilities Qs arises whether pensions are underfunded 70s rise in interest rate – low stock market Traditionally Sometimes pensions are seen as separate silos – assets and liabilities – but ignores natural correlation between the two Increasing trend to consider them as one Triangles Actie return – is the excess return over the benchmark Longer time horizon Libailities side focused on simulation – assets side more on markoqitz procedure Multiple risk perspective Asset side started using the same approach as banks – looking at var, potential future
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This note was uploaded on 12/11/2011 for the course FIN 6200 taught by Professor Vitaly during the Spring '11 term at York University.

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Risk Mgmt dec 8 - Risk Mgmt Dec 8 Risk in the balance sheet Insurance actuarial and mortality risk Alm longer term obligations therefore focuses on

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