Features
Supported by a single risk engine, data architecture, and data mapping tools, Risk and Economic Capital Management for Insurance offers a wide range of advanced market and credit risk analytics that can be used and integrated across asset and liability risk management within insurance companies and pension funds.
Liability Driven Investing
Third party generated liability cash flows can be used as a benchmark for evaluating liability-driven investment strategies. Portfolio managers can enter and analyze potential trades against projected liability cash flows, using a host of relative risk measures to help maximize risk-adjusted performance. Alternatively, the optimizer can be used to generate an optimal portfolio that matches the liabilities or minimizes the required capital. Through its support for liability-driven investing, Risk and Economic Capital for Insurance enables decision makers at all levels to share a common view on the effectiveness of investment strategies.
Replicating Portfolios
Leveraging the solution's full asset coverage and a proven, scenario-based portfolio optimization module, Risk and Economic Capital for Insurance can be used to help determine an optimal proxy portfolio of asset instruments that replicate the characteristics of a given set of scenario-dependent liability cash flows. This replicated portfolio can then be further simulated and stress tested to determine liability capital requirements. Liability cash flows can be imported from any existing actuarial projection system, providing consistency and integrated reporting across business lines and geographic borders.
Economic and regulatory capital
Risk and Economic Capital for Insurance provides access to an integrated view of assets and liabilities, giving a consistent basis for capital calculations in line with emerging Solvency II regulations. The ERM framework, analytics, and risk reporting dashboard provide a comprehensive infrastructure and tool set to implement economic or regulatory capital models covering underwriting, market risk, and credit risk. In conjunction with risk management strategies, insurance companies can use the solution to develop hedging strategies that can reduce the company's risk profile and lead to lower capital requirements.
Variable Annuities
Risk and Economic Capital for Insurance provides stochastic valuation models for variable annuities with both living and death benefits allowing for dynamic policy lapses and partial withdrawals. In conjunction with economic scenarios from the scenario engine, the solution provides stochastic-on-stochastic capabilities for hedging and economic capital calculations. It also enables clients to develop a flexible and proprietary risk management framework in accordance with an organization's own methodology for product development, pricing of new product features, hedging and projection, valuation, and attribution reporting.
Related Downloads
The Replication Game
How ING put together a portfolio replication and economic capital calculation system for its global insurance business within two years.
Life & Pensions, April 2007. *Reproduced with permission
Clive Davidson
Algo Risk for Insurance Fact Sheet
Manage interest rate risk and credit risk, and develop hedging strategies.
Replicating Portfolios in Algo Risk
This paper provides a high-level overview of the replicating portfolio construction process available within Algo Risk.
Algo Risk for Variable Annuities
Manage variable annuity portfolios with Algo Risk's fully integrated stochastic pricing module.
Liability-Driven - Investing in Algo Risk
Related Information
Life & Pensions Awards
Tom Wilson of ING brings in central standardized replicating portfolio across 30 plus countries