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Liquidity, Capital, and ALM: How Insurers can Include a Liquidity Score and Liquidity Stress Scenarios as Part of their Asset Liability Management (ALM) Protocol
Liquidity, Capital, and ALM: How Insurers can Include a Liquidity Score and Liquidity Stress ... A typical solution is to use a dynamic lapse formula. Most dynamic lapse formulas are set on an aggregate ...- Authors: Joshua Dobiac, David Wang
- Date: Dec 2023
- Competency: Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management>Portfolio management - ERM; Finance & Investments>Asset liability management
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Risk Management in a Rising Interest Rate Environment
Risk Management in a Rising Interest Rate Environment The Federal funds rate increased ... under- or over-hedged, due to the inaccuracy in the dynamic surrender assumption, interest rate forecast, etc ...- Authors: Yiru (Eve) Sun, Chun Zheng
- Date: Jun 2023
- Competency: External Forces & Industry Knowledge; Results-Oriented Solutions
- Publication Name: Risk Management
- Topics: Enterprise Risk Management; Finance & Investments; Finance & Investments>Asset liability management; Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments
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Stratégies de gestion de l’actif et du passif : gestion du risque de convexité en contexte de hausse des taux d’intérêt
Stratégies de gestion de l’actif et du passif : gestion du risque de convexité ... insurer convexity risk exposure, most notably to dynamic policyholder lapsation. We further provide insights ...- Authors: Robert E Winawer, Seong Weon Park
- Date: Sep 2021
- Competency: External Forces & Industry Knowledge; Strategic Insight and Integration
- Publication Name: Risk Management
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Asset liability management
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Asset and Liability Management Strategies: Managing Convexity Risk as Interest Rates Rise
insurer convexity risk exposure, most notably to dynamic policyholder lapsation. We further provide insights ... changes in interest rates without incorporating dynamic lapse behavior. Static liability convexity increases ...- Authors: Robert E Winawer, Seong Weon Park
- Date: Sep 2021
- Competency: External Forces & Industry Knowledge; Strategic Insight and Integration
- Publication Name: Risk Management
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Asset liability management