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Insurance - Asset Liability Management under Solvency II
Overview
This is a 2 day course to learn ALM tools to achieve strong and market-resilient, actuarially-resilient Solvency 2 (S2) ratios at Group consolidated level and at key cash-remitting entities to ensure dividend stability. For those not fully familiar with Solvency 2, this course is best taken in conjunction with “Solvency 2”
Learning Objectives
Learn 8 key tools in insurance company ALM which aim to strengthen Solvency 2 ratios and make them more resilient to market and underwriting variances:
New business / product design
Interest rate swaps and swaptions
Credit investment portfolio alignment to volatility adjustment reference portfolio and CDS index payer options
Reinsurance / insurance-linked securities
Commutations
illiquidity premia
Subordinated debt within eligible own funds
Internal model
Learn treatment of ALM tools under both standard formula and estimated impact under our illustrative internal model
Who the course is for
Capital management / ALM / risk management staff within insurance company
Investors in insurance company securities – equity, subordinated bonds, insurance-linked securities
Salespeople covering insurance companies
