In this session a panel of industry experts from the life insurance industry will examine the modeling challenges created by increased investment in more esoteric assets.
- Strategic Asset Allocation models and measures of risk/return. How are liabilities considered in SAA models?
- Types of models for more complex and more esoteric assets, e.g., structured products, timber, infrastructure, PE, Hedge Funds, etc.
- Approaches to optimization and Efficient Frontier creation
- Modeling expertise required for specialist asset classes
- Stress testing for asset allocation
- Technology needs, availability of data, and runtime considerations
- Areas for improvement and emerging approaches that hold promise
At the conclusion of this session, attendees will have a good understanding of the modeling challenges raised as US insurers have moved increasingly into non-public and more esoteric asset classes, and how the industry is addressing these challenges.