Description: There are many ways to perform Risk Management. For an ERM system to be effective its objectives need to match up with what management wants. But most ERM systems do not have an explicit objective. Part of the essay collection "Risk Metrics for Decision Making and ORSA"

Description: Our previous article, “Introduction of Cashflow Matching Strategic Asset Allocation (SAA) Framework,” introduced the concept and included a real-world case study that developed a liability-driven investment strategy for a single line of business (LOB) for a life insurer. This article expands the framework and the case study from a single LOB to simultaneously optimize asset allocation across multiple LOBs. It discusses how this multi-line SAA framework can enable an insurance company to efficiently tag its asset holdings to each LOB, identify opportunities in the public and private asset markets to enhance risk-adjusted returns, and develop a deeper understanding of the trade-off between the degree of cashflow matching and risk-adjusted returns across LOBs.