Description: The management of the investments of an insurance enterprise has undergone a considerable evolution since the pioneering work of Redington in the mid 20th century. Best practices have evolved to incorporate ever more complex insurance liabilities, expanding investment asset classes and global market opportunities. Strategic asset allocation (SAA), liability driven investing, and other robust optimization approaches form the core of the professional management of insurance company investments.

Description: The article introduces a cashflow matching strategic asset allocation (SAA) framework for life insurers. Given the recent shift to higher interest rates after two decades of persistent low interest rates, insurers have an opportunity to enhance their asset liability management by rebalancing asset portfolios to narrow duration gaps and attain higher risk-adjusted yields. The framework aims to align investment objectives with economic, regulatory, and rating agency requirements. It prioritizes cashflow matching as the primary optimization goal and incorporates security-level asset information to assist portfolio managers in executing SAA seamlessly. The article highlights the benefits of the cashflow matching SAA framework, including greater attention to cashflow matching, unbiased results, readily executable strategies, and stable economic reserves. A case study is included to demonstrate the effectiveness of the framework in improving risk-adjusted return and cashflow matching for a representative liability block.

Description: This paper presents enhancements to the classical cash-flow matching approach to developing fixed income portfolio investment strategy by allowing cash carry-forward and borrowing from future surpluses.

Description: This paper presents the theory of immunization of investments to changes in interest rates and provides an extensive series of examples and formulas used in its implementation. Also presents some implications for investment behavior, product development, interest assumptions, valuation and adjusted earnings. Discussions of this paper are included.

Description: This article is about equity real estate and how its becoming an important part of investment profiles.

Description: This paper investigates how the concepts of asset-liability matching can be used to shape investment strategy. From Transactions of Society of Actuaries 1980, Vol. 32.

Description: With this paper, a new theory of immunization is introduced in which the approach is multivariate, and the goal is stochastic in the sense of minimizing stochastic risk. Discussions of this paper are included.

Description: The investment risk taken by a pension fund comprises strategic risk and active risk. This paper discusses the relative merits of these two types of risk to the pension fund, possible rationales for the levels of strategic and active risk typically adopted mechanisms for capturing manager skill without taking on equity risk, and issues in setting liability-based benchmarks for investment managers

Description: 1992 SOA Annual Meeting, Washington, D.C. This session on cash-flow testing for product actuaries covered the following topics: 1. Guidance notes designed to help in writing up reports on cash-flow testing. 2. Investment strategies in product design. 3. Surplus requirements.

Description: Presented at October 1996 Annual Meeting. This session explores both conceptual and practical considerations involved with the formulation and implementation of investment strategy: decision-making framework and processes, measurement of risk and reward, constraints, modeling.