2024 SOA ImpACT Conference - Session 6L: The Intersection of Principle-Based Reserving (PBR) and Investment Strategy 10.29.24 Recording

For Life insurers, the liability side of the balance sheet has long been an important driver of investment strategy. The advent of Principle-Based Reserving (PBR) increased the need for the integration of asset management and actuarial functions. Recent changes such as Actuarial Guideline 53 have also heightened the need for robust and transparent asset modeling. In light of these changes, collaboration between a company's investment and actuarial teams is imperative to guaranteeing optimal reserve and capital calculations, as well as asset allocation decisions. In this session, we will discuss best practices in ALM and Strategic Asset Allocation (SAA) modeling approaches to account for the complex relationships between insurance liabilities and the portfolios backing them. We will highlight how robust modeling techniques not only result in optimal asset decisions from a long-term value perspective but can also result in better capital efficiency. At the conclusion of this session, attendees will be able to identify the key aspects of a successful ALM and SAA framework for liabilities subject to PBR.