Survey of ALM Practices

Background and Purpose

Asset Liability Management (ALM) is an actuarial discipline that ensures that various risk characteristics of insurance liabilities are managed by an appropriate portfolio of assets. ALM involves a complicated set of considerations in order to ultimately provide life insurance companies with an optimal financial operating environment. ALM touches upon many disciplines including finance, macro and micro economics, statistics and probability theory, valuation of embedded options and applications of financial derivatives. As both insurance and investment markets have evolved, actuaries working within ALM continue to develop a series of practices as well as an intuitive sense of how to best accomplish the overall goals of ALM. With this in mind, the SOA’s Committee on Finance Research (CFR) is interested in exploring current ALM practices for actuaries working in life insurance companies.

Research Objective

The Committee on Finance Research (CFR) is seeking researchers to conduct a survey on current ALM practices.  The CFR envisions the survey to be focused on various life insurance company products with attention paid to issues such as general account vs. separate account product distinctions. The following are examples of topics that may be covered by the survey:

  • Common ALM issues and problems encountered along with any solutions developed
  • Approaches to modeling insurance liability cash flows and embedded options
  • Approaches to combining separate product lines into portfolios to facilitate ALM
  • How has portfolio construction including derivative hedging techniques evolved in companies?
  • How do companies define ALM programs? What valuation basis is used – Stat, GAAP, FV, etc.?
  • What are newer asset classes and how have they been introduced?
  • What are liquidity issues that are encountered?
  • What is the impact of the accounting regime and regulations on ALM?
  • Do companies utilize a software vendor or in-house software for ALM? What are key features of the software?
  • Is the company a centralized or de-centralized structure and how does that impact ALM?

Proposals should clarify which insurance products/companies will be under consideration for the survey.

Note that the above list is not meant to be exhaustive but merely examples of proposed topics that may be included.

The survey would be directed to actuaries and financial professionals working for life insurance companies whose responsibilities include ALM among their primary tasks. The survey would be in the form of an online questionnaire that may be filled out by chief risk officers and/or several actuaries at a life insurance company to capture a broad range of insurance products, actuarial practices and perspectives. 


To facilitate the evaluation of proposals, the following information should be submitted:

  1. Resumes of the researcher(s), including any graduate student(s) expected to participate, indicating how their background, education and experience bear on their qualifications to undertake the research. If more than one researcher is involved, a single individual should be designated as the lead researcher and primary contact. The person submitting the proposal must be authorized to speak on behalf of all the researchers as well as for the firm or institution on whose behalf the proposal is submitted.
  2. An outline of the approach to be used (e.g. literature search, model, etc.), emphasizing issues that require special consideration. Details should be given regarding the techniques to be used, collateral material to be consulted, and possible limitations of the analysis.
  3. A description of the expected deliverables and any supporting data, tools or other resources.
  4. Cost estimates for the research, including computer time, salaries, report preparation, material costs, etc. Such estimates can be in the form of hourly rates, but in such cases, time estimates should also be included. Any guarantees as to total cost should be given and will be considered in the evaluation of the proposal. While cost will be a factor in the evaluation of the proposal, it will not necessarily be the decisive factor.
  5. A schedule for completion of the research, identifying key dates or time frames for research completion and report submissions. The CFR is interested in completing this project in a timely manner.  Suggestions in the proposal for ensuring timely delivery, such as fee adjustments, are encouraged.
  6. Other related factors that give evidence of a proposer's capabilities to perform in a superior fashion should be detailed.

Selection Process

The CFR will appoint a Project Oversight Group (POG) to oversee the project.  The CFR is responsible for recommending the proposal to be funded.  Input from other knowledgeable individuals also may be sought, but the CFR will make the final recommendation, subject to SOA leadership approval. The SOA's Research Actuary will provide staff actuarial support.


Any questions regarding this RFP should be directed to Steven Siegel, SOA Sr. Research Actuary (phone: 847-706-3578/3614; email:    

Notification of Intent to Submit Proposal

If you intend to submit a proposal, please e-mail written notification by July 15, 2019 to Barbara Scott.

Submission of Proposal

Please e-mail a copy of the proposal to Barbara Scott.

Proposals must be received no later than August 12, 2019. It is anticipated that all proposers will be informed of the status of their proposal by the end of Sept 2019.

Note: Proposals are considered confidential and proprietary.


The selection of a proposal is conditioned upon and not considered final until a Letter of Agreement is executed by both the Society of Actuaries and the researcher.

The CFR reserves the right to not award a contract for this research. Reasons for not awarding a contract could include, but are not limited to, a lack of acceptable proposals or a finding that insufficient funds are available. The CFR also reserves the right to redirect the project as is deemed advisable.

The CFR plans to hold the copyright to the research and to publish the results with appropriate credit given to the researcher(s).

The CFR may choose to seek public exposure or media attention for the research.  By submitting a proposal, you agree to cooperate with the CFR in publicizing or promoting the research and responding to media requests.

The CFR may also choose to market and promote the research to members, candidates and other interested parties.  You agree to perform promotional communication requested by the CFR, which may include, but is not limited to, leading a webcast on the research, presenting the research at an SOA meeting, and/or writing an article on the research for an SOA newsletter.