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: We will determine the role of risk function in evaluating operational risks associated with the implementation of LDTI and any system conversions. Are all models validated by the risk function before they are productionalized and results used by management to make business decisions? Does the risk function play a part in to assist finance, actuarial and investor relations in communicating changes and volatility resulting from LDTI? If not, should it? We will articulate the role that risk functions play in being part of large transformation from the start as a stakeholder/input provider to subsequently being an independent reviewer (i.e., second Line of defense).

Description: Strategic Risk Management was given lower priority in a recent survey of ERM Objectives. This article tells how the author believes that recent events have caused many to shift to a more short term focus and in the future there will be a shift back to a priority for the longer term view that stands behind Strategic Risk Management when the environment settles down and things again seem to be more predictable.