# Stochastic programming approach to ALM in Finnish pension insurance companies p.1/36

Save this PDF as:

Size: px
Start display at page:

Download "Stochastic programming approach to ALM in Finnish pension insurance companies p.1/36"

## Transcription

1 Stochastic programming approach to ALM in Finnish pension insurance companies Aktuaaritoiminnan kehittämissäätiön syysseminaari Teemu Pennanen Helsinki School of Economics Stochastic programming approach to ALM in Finnish pension insurance companies p.1/36

2 The problem The company has several billion euros in assets and is facing a situation where a large number of people is retiring at around The problem is to find an asset management/bonus transfer strategy that 1. covers the uncertain future liabilities, 2. satisfies the statutory restrictions, 3. is optimal (safe, profitable,... ) in the long run. Stochastic programming approach to ALM in Finnish pension insurance companies p.2/36

3 The problem Essential characteristics of the problem The planning horizon is years. Uncertainties: Investment returns, cash-flows, liabilities. Dynamics: Decisions are made sequentially under increasing information. This is an optimization problem. Stochastic programming approach to ALM in Finnish pension insurance companies p.3/36

4 At stage variable Stochastic Programming, observe the value of a random and make a decision. The decision will be a function of A realization of the sequences results in a cost. and. The problem is to find a strategy that minimizes subject to given constraints Stochastic programming approach to ALM in Finnish pension insurance companies p.4/36

5 Stochastic Programming 1. Model the problem 1.1 Model the optimization problem 1.2 Model the uncertainty 2. Solve the model 2.1 Discretize the model 2.2 Solve the discretized model Stochastic programming approach to ALM in Finnish pension insurance companies p.5/36

6 Stochastic Programming 1. Model the problem 1.1 Model the optimization problem 1.2 Model the uncertainty 2. Solve the model 2.1 Discretize the model 2.2 Solve the discretized model More efficient (optimal) than duration/convexity matching or pure simulation approaches. Much more general than the better known approaches of stochastic optimal control or dynamic programming. Stochastic programming approach to ALM in Finnish pension insurance companies p.6/36

7 Stochastic Programming 1. Model the problem 1.1 Model the optimization problem (convex analysis) 1.2 Model the uncertainty (stochastics, econometrics) 2. Solve the model 2.1 Discretize the model (variational analysis) 2.2 Solve the discretized model (math. programming) More efficient (optimal) than duration/convexity matching or pure simulation approaches. Much more general than the better known approaches of stochastic optimal control or dynamic programming. Stochastic programming approach to ALM in Finnish pension insurance companies p.7/36

8 1.1 Model the optimization problem Here, the aim is to specify so that stochastic factors decision variables objective constraints,,,, all important features of the real problem are captured and are convex. Stochastic programming approach to ALM in Finnish pension insurance companies p.8/36

9 1.1 Model the optimization problem Assets are considered as aggregate investment classes: cash, bonds, stocks, real estate, loans. The stochastic factors are, return on asset, dividend on asset!, cash flows from period " over period, technical reserves at time # over period,.,. Stochastic programming approach to ALM in Finnish pension insurance companies p.9/36

10 1.1 Model the optimization problem The decision variables are \$ & ' ( holdings in asset purchases in asset sales in asset total wealth at time + in period at time, at time,, %, \$ * ) transfers to bonus reserve at time solvency capital at time,, Stochastic programming approach to ALM in Finnish pension insurance companies p.10/36

11 % Model the optimization problem Inventory, budget, portfolio and transaction constraints: ' %& \$ \$ ' %&. \$ -, \$ " % 3 ' / * 2 ). +, % 1 & %0/ * ) ". \$!, * % ) ' 3 / * 2 ). + -, %54 & 1 %/ * ) ( 287 \$ ( 6 ( & ( ' Stochastic programming approach to ALM in Finnish pension insurance companies p.11/36

12 9 < ; > Solvency capital: 1.1 Model the optimization problem # ( Solvency border: = \$ \$ > = * =) 9% \$ < * ; ) : where,, and are given parameters. Stochastic programming approach to ALM in Finnish pension insurance companies p.12/36

13 ? 1.1 Model the optimization problem Objective is to maximize expected utility: maximize # + : B 7 subject to the above constraints and the requirement that the decision process + ( &' \$ is adapted to the flow of information, i.e. the decision made at time only depends on the values of the stochastic process up to time + ( ' & \$ # "!. Stochastic programming approach to ALM in Finnish pension insurance companies p.13/36

14 Stochastic Programming 1. Model the problem 1.1 Model the optimization problem 1.2 Model the uncertainty 2. Solve the model 2.1 Discretize of the model 2.2 Solve the discretized model Stochastic programming approach to ALM in Finnish pension insurance companies p.14/36

15 # "! K DC F 1.2 Model the uncertainty We express all the stochastic factors seven economic variables,,, in terms of = short term interest rate, = real estate price index, = long term bond yield, ED P LNMO = rental index, = stock price index, = wage index, GHJI = dividend index, whose development will be modeled by an econometric model. Stochastic programming approach to ALM in Finnish pension insurance companies p.15/36

16 ]] R W 1.2 Model the uncertainty T R QSR Asset class 0 ^_ ` WXZ ]UV \ RJ[ WYXZ UUV Cash ]-nr mz R W \ UmZl ikj h g ced_5f a\b \ R[ ced_ \b Bonds ]nr iprq_ o_ g iprq_5f \ U l g o_5f o_ g o_f Stocks h nr }zz { R_ ]yx tvuw s_ g R_5f tvuw a\ U l s_5f g s_ s_5f g Real estate ]-nr mz R W \ R[ \ UmZl Loans 1 where is the length of period in years and denotes the average duration of the company s bond portfolio.!s~ 4 depend on # The cash-flows and the technical reserves the population forecasts and the wage index. " Stochastic programming approach to ALM in Finnish pension insurance companies p.16/36

17 Ÿž ž are independent normally distributed with zero mean and ž 1.2 Model the uncertainty The quarterly development of Š Œ ƒ ƒ! ˆ ƒ 9 ƒ ' will be described with a VEqC model: %š., %0 Ž, Ž, and,, are parameters. The innovations Ÿ Ÿ0 ž., œ Ž where Ÿ0 Ÿ0 ž ž,, Ÿ Ÿ0. variance matrix Stochastic programming approach to ALM in Finnish pension insurance companies p.17/36

18 Stochastic Programming 1. Model the problem 1.1 Model the optimization problem 1.2 Model the uncertainty 2. Solve the model 2.1 Discretize of the model 2.2 Solve the discretized model Stochastic programming approach to ALM in Finnish pension insurance companies p.18/36

19 2 Solve the model Since has an infinite support, the space of possible strategies is infinite-dimensional. Stochastic optimal control or dynamic programming do not work here. We proceed by discretization and numerical computation. Stochastic programming approach to ALM in Finnish pension insurance companies p.19/36

20 & & 2.1 Discretize of the model Denote the stochastic factors by. We replace by a finitely supported measure «ª ) where «ª. is the unit mass on a given scenario, and Then the problem becomes finite-dimensional convex program. Constructing appropriately, these finite-dimensional approximations converge to the original problem as the number of scenarios is increased. Stochastic programming approach to ALM in Finnish pension insurance companies p.20/36

21 2.2 Solve the discretized model The problem now is to solve a (very large) finite-dimensional optimization problem. We use AMPL and MOSEK (an interior point solver for general convex problems). One could also use more efficient solvers tailored for stochastic programs over finite scenario trees. Stochastic programming approach to ALM in Finnish pension insurance companies p.21/36

22 Stochastic Programming 1. Model the problem 1.1 Model the optimization problem 1.2 Model the uncertainty 2. Solve the model 2.1 Discretize of the model 2.2 Solve the discretized model Stochastic programming approach to ALM in Finnish pension insurance companies p.22/36

23 3. Implementation MODEL DISCRETIZATION SOLUTION Optimization model AMPL Time series model QMC MOSEK Stochastic programming approach to ALM in Finnish pension insurance companies p.23/36

24 A discretized process (a) Short rate % (b) Bond rate % (c) Equity index (d) Dividend yield index Stochastic programming approach to ALM in Finnish pension insurance companies p.24/36

25 A discretized process (e) Real estate index (f) Rental index (g) Yearly cash flows (h) Technical reserves Stochastic programming approach to ALM in Finnish pension insurance companies p.25/36

26 z Optimal first stage portfolios as a function of z real estate, stocks, bonds, cash, loans With target zones Without target zones Stochastic programming approach to ALM in Finnish pension insurance companies p.26/36

27 Out-of-sample simulation Compare the performance of Stochastic Programming strategies with Fixed-Mix, Portfolio Insurance strategies. 325 out-of-sample scenarios over a 20 year time horizon Portfolio re-balancing every year i.e. FM and PI portfolios are rebalanced according to the given rules and SP problems are solved with respect to the current values of the stochastic parameters along the simulated scenario. Stochastic programming approach to ALM in Finnish pension insurance companies p.27/36

28 Out-of-sample simulation ±# vs. bankruptcy probability Stochastic programming approach to ALM in Finnish pension insurance companies p.28/36

29 Out-of-sample simulation Development of ±# over the simulation period (i) Stochastic Programming (j) Portfolio Insurance Stochastic programming approach to ALM in Finnish pension insurance companies p.29/36

30 : ± Out-of-sample simulation Distribution of at the beginning of the second period Stochastic Programming Portfolio Insurance Stochastic programming approach to ALM in Finnish pension insurance companies p.30/36

31 References Koivu M., Pennanen T. and Ranne A., Modeling assets and liabilities of a Finnish pension insurance company: a VEqC approach, Scandinavian Actuarial Journal, to appear. Hilli P., Koivu M., Pennanen T. and Ranne A., A stochastic programming model for asset liability management of a Finnish pension insurance company, Annals of Operations Research, to appear. Stochastic programming approach to ALM in Finnish pension insurance companies p.31/36

32 Another example: a pension fund The problem is the same as above except that there is no bonus payments to policy holders, there is no loans to policy holders, the company supports the fund, it is required that for all ³ ² : ±, stocks are divided into Finnish and international ones, instead of building a time series model for the nominal values we model real values and include inflation in the time series model. Stochastic programming approach to ALM in Finnish pension insurance companies p.32/36

33 Another example: a pension fund Initial and the optimized portfolio. 100% 90% 80% 70% 60% 50% 40% Real Stocks_Int Stocks_Fi Cash Bond 30% 20% 10% 0% Initial Optimized Stochastic programming approach to ALM in Finnish pension insurance companies p.33/36

34 Another example: a pension fund The optimal portfolio at the beginning of the second period as a function of. ±#.. 100% 80% Portfolio 60% 40% Real Stocks_Int Stocks_Fi Cash Bond 20% 0% Stochastic 0.56 programming approach to ALM in Finnish pension 0.76 insurance companies p.34/36

35 Another example: a pension fund The optimal portfolio at the beginning of the second period as a function of. ±# 100% 80% Portfolio 60% 40% Real Stocks_Int Stocks_Fi Cash Bond 20% 0% Stochastic programming approach to ALM in Finnish pension insurance companies p.35/36

36 µ Articles etc. can be found at the web-site of Stochastic Programming and its Applications in Finance at Helsinki School of Economics. *Funded by Academy of Finland Stochastic programming approach to ALM in Finnish pension insurance companies p.36/36

### Asset Liability Management / Liability Driven Investment Optimization (LDIOpt)

Asset Liability Management / Liability Driven Investment Optimization (LDIOpt) Introduction ALM CASH FLOWS OptiRisk Liability Driven Investment Optimization LDIOpt is an asset and liability management

### SELECTING AN OPTIMAL INVESTMENT PORTFOLIO FOR A PENSION INSURANCE COMPANY

SELECTING AN OPTIMAL INVESTMENT PORTFOLIO FOR A PENSION INSURANCE COMPANY Katja Ainassaari, Finland Markku Kallio, Finland Antero Anne, Finland Summary This article presents a portfolio management model

This article was downloaded by:[helsinki School of Economics] [Helsinki School of Economics] On: 19 February 2007 Access Details: [subscription number 769844937] Publisher: Taylor & Francis Informa Ltd

### Micro Simulation Study of Life Insurance Business

Micro Simulation Study of Life Insurance Business Lauri Saraste, LocalTapiola Group, Finland Timo Salminen, Model IT, Finland Lasse Koskinen, Aalto University & Model IT, Finland Agenda Big Data is here!

### AXA s approach to Asset Liability Management. HELVEA Insurance Capital Adequacy and Solvency Day April 28th, 2005

AXA s approach to Asset Liability Management HELVEA Insurance Capital Adequacy and Solvency Day April 28th, 2005 ALM in AXA has always been based on a long-term view Even though Solvency II framework is

### Distinction Between Interest Rates and Returns

Distinction Between Interest Rates and Returns Rate of Return RET = C + P t+1 P t =i c + g P t C where: i c = = current yield P t g = P t+1 P t P t = capital gain Key Facts about Relationship Between Interest

### family college planning, limited stock and mutual fund analysis outside of retirement planning

Comprehensive Financial Planning Package Outline Benefit Overview Silver Package Basic Financial Planning Determine income needs, retirement funds needed, family index number. Lifeinsurance analysis, limited

### Investment Portfolio Management Techniques for Fixed Income, Equity and Alternative Investments

Investment Portfolio Management Techniques for Fixed Income, Equity and Alternative Investments www.mce-ama.com/2400 Senior Managers Days 4 www.mce-ama.com 1 WHY attend this programme? Managing an investment

### ASSET MANAGEMENT ALM FRAMEWORK

ASSET MANAGEMENT within an ALM FRAMEWORK LE MÉRIDIEN SINGAPORE SEPTEMBER 6 7, 2007 Charles L. Gilbert, FSA, FCIA, CFA Traditional Asset Management Focus on asset returns Assets managed against benchmark

### Manual for SOA Exam FM/CAS Exam 2.

Manual for SOA Exam FM/CAS Exam 2. Chapter 6. Variable interest rates and portfolio insurance. c 2009. Miguel A. Arcones. All rights reserved. Extract from: Arcones Manual for the SOA Exam FM/CAS Exam

### Modelling Incomplete Markets for Long Term Asset Liability Management

INI DQF Workshop on Modelling Philosophy 22 April 2005 Modelling Incomplete Markets for Long Term Asset Liability Management M A H Dempster Centre for Financial Research Judge Institute of Management University

### The Master of Science in Finance (English Program) - MSF. Department of Banking and Finance. Chulalongkorn Business School. Chulalongkorn University

The Master of Science in Finance (English Program) - MSF Department of Banking and Finance Chulalongkorn Business School Chulalongkorn University Overview of Program Structure Full Time Program: 1 Year

### Stochastic Optimization and Pension Fund Management

Stochastic Optimization and Pension Fund Management Ronald Hochreiter Computational Risk Management Group, University of Vienna 11th International Conference on Stochastic Programming (SPXI). Vienna, Austria.

### Matching Investment Strategies in General Insurance Is it Worth It? Aim of Presentation. Background 34TH ANNUAL GIRO CONVENTION

Matching Investment Strategies in General Insurance Is it Worth It? 34TH ANNUAL GIRO CONVENTION CELTIC MANOR RESORT, NEWPORT, WALES Aim of Presentation To answer a key question: What are the benefit of

### EEV, MCEV, Solvency, IFRS a chance for actuarial mathematics to get to main-stream of insurance value chain

EEV, MCEV, Solvency, IFRS a chance for actuarial mathematics to get to main-stream of insurance value chain dr Krzysztof Stroiński, dr Renata Onisk, dr Konrad Szuster, mgr Marcin Szczuka 9 June 2008 Presentation

### Asset Liability Management for Individual Households

CCFEA 10 th Anniversary Conference University of Essex 7 th November 2012 Asset Liability Management for Individual Households M A H Dempster Centre for Financial Research, University of Cambridge & Cambridge

### Facilitating On-Demand Risk and Actuarial Analysis in MATLAB. Timo Salminen, CFA, FRM Model IT

Facilitating On-Demand Risk and Actuarial Analysis in MATLAB Timo Salminen, CFA, FRM Model IT Introduction It is common that insurance companies can valuate their liabilities only quarterly Sufficient

### Asset Liability Management at Munich Reinsurance Company

Asset Liability Management at Munich Reinsurance Company Helsinki, 17 th November 2004 Bernhard Kaufmann and Jochen Mayer Agenda ALM: Governance and Management The Munich Re ALM-Model: ALM on Macro Level

### ORSA and Economic Modeling Choices. Bert Kramer, André van Vliet, Wendy Montulet

ORSA and Economic Modeling Choices Bert Kramer, André van Vliet, Wendy Montulet OFRC Applied Paper No. 2011-04 May 2011 OFRC WORKING PAPER SERIES ORSA and Economic Modeling Choices Bert Kramer, André van

### Asset Liability Management for Australian Life Insurers Anton Kapel Zac Roberts

Asset Liability Management for Australian Life Insurers Anton Kapel Zac Roberts Copyright 2006, the Tillinghast Business of Towers Perrin. All rights reserved. A licence to publish is granted to the Institute

### Certification Program on Corporate Treasury Management

Certification Program on Corporate Treasury Management Introduction to corporate treasury management Introduction to corporate treasury management: relevance, scope, approach and issues Understanding treasury

### Liability-driven investment in longevity risk management

Liability-driven investment in longevity risk management Helena Aro Teemu Pennanen March 14, 2013 Abstract This paper studies optimal investment from the point of view of an investor with longevity-linked

### Disclosure of European Embedded Value (summary) as of March 31, 2012

May 25, 2012 SUMITOMO LIFE INSURANCE COMPANY Disclosure of European Embedded Value (summary) as of 2012 This is the summarized translation of the European Embedded Value ( EEV ) of Sumitomo Life Insurance

### Center for Gifted Education Focusing on the Future 2015 CAREERS IN FINANCE

Center for Gifted Education Focusing on the Future 2015 CAREERS IN FINANCE What is Finance? The science that describes the management, creation and study of money, banking, credit, investments, assets

### UNIVERSITY OF WAH Department of Management Sciences

BBA-330: FINANCIAL MANAGEMENT UNIVERSITY OF WAH COURSE DESCRIPTION/OBJECTIVES The module aims at building competence in corporate finance further by extending the coverage in Business Finance module to

### Understanding Your Life Insurance Options

Understanding Your Life Insurance Options Designed for: Marathonbenefits.com Designed by: Marathon Benefit Corp. Ph: 403-238-7343 sales@marathonbenefits.com September 17, 2010 U N D E R S T A N D I N G

### Athens University of Economics and Business

Athens University of Economics and Business MSc in International Shipping, Finance and Management Corporate Finance George Leledakis An Overview of Corporate Financing Topics Covered Corporate Structure

### Asset Liability Management for Life Insurance: a Dynamic Approach

Risk Consulting CAPITAL MANAGEMENT ADVISORS srl Asset Liability Management for Life Insurance: a Dynamic Approach Dr Gabriele Susinno & Thierry Bochud Quantitative Strategies Capital Management Advisors

### Pension Liability Risks: Manage or Sell?

Pension Liability Risks: Manage or Sell? David Blake Pensions Institute Cass Business School The views expressed in this paper are those of the author(s) only, and the presence of them, or of links to

### Viliam Páleník. Kristína Petríková. Institute of Economic Research SAS European Economic and Social Committee. Institute of Economic Research SAS

Viliam Páleník Institute of Economic Research SAS European Economic and Social Committee Kristína Petríková Institute of Economic Research SAS Motivation Introduction Context Financial Services Equity

### Dynamic Asset Allocation Using Stochastic Programming and Stochastic Dynamic Programming Techniques

Dynamic Asset Allocation Using Stochastic Programming and Stochastic Dynamic Programming Techniques Gerd Infanger Stanford University Winter 2011/2012 MS&E348/Infanger 1 Outline Motivation Background and

### Replicating Life Insurance Liabilities

Replicating Life Insurance Liabilities O. Khomenko Jena, 23 March 2011 1 Solvency II New Regulation for Insurance Industry Solvency II is a new regulation for European insurance industry. It is expected

### This paper is not to be removed from the Examination Halls

~~FN3023 ZA d0 This paper is not to be removed from the Examination Halls UNIVERSITY OF LONDON FN3023 ZA BSc degrees and Diplomas for Graduates in Economics, Management, Finance and the Social Sciences,

### SESSION/SÉANCE : 37 Applications of Forward Mortality Factor Models in Life Insurance Practice SPEAKER(S)/CONFÉRENCIER(S) : Nan Zhu, Georgia State

SESSION/SÉANCE : 37 Applications of Forward Mortality Factor Models in Life Insurance Practice SPEAKER(S)/CONFÉRENCIER(S) : Nan Zhu, Georgia State University and Illinois State University 1. Introduction

### Susan & David Example

Personal Retirement Analysis for Susan & David Example Asset Advisors Example, LLC A Registered Investment Advisor 2430 NW Professional Drive Corvallis, OR 97330 877-421-9815 www.moneytree.com IMPORTANT:

### FTS Real Time System Project: Portfolio Diversification Note: this project requires use of Excel s Solver

FTS Real Time System Project: Portfolio Diversification Note: this project requires use of Excel s Solver Question: How do you create a diversified stock portfolio? Advice given by most financial advisors

### SURVEY ON ASSET LIABILITY MANAGEMENT PRACTICES OF CANADIAN LIFE INSURANCE COMPANIES

QUESTIONNAIRE SURVEY ON ASSET LIABILITY MANAGEMENT PRACTICES OF CANADIAN LIFE INSURANCE COMPANIES MARCH 2001 2001 Canadian Institute of Actuaries Document 20113 Ce questionnaire est disponible en français

### Quantitative methods in Insurance

Quantitative methods in Insurance University of Tampere 7.12.2015 Lasse Koskinen Insurance Science, University of Tampere 1 Background Insurance is, by nature, a very uncertain subject. Insured events

### OPTIMIZING RETIREMENT INCOME BY COMBINING ACTUARIAL SCIENCE & INVESTMENTS

OPTIMIZING RETIREMENT INCOME BY COMBINING ACTUARIAL SCIENCE & INVESTMENTS OneAmerica is the marketing name of the companies of OneAmerica. Lifetime Sequence of Returns Risk 16 Explanatory Power for Each

### CEIOPS Preparatory Field Study for Life Insurance Firms. Summary Report

CEIOPS-FS-08/05 S CEIOPS Preparatory Field Study for Life Insurance Firms Summary Report 1 GENERAL OBSERVATIONS AND CONCLUSIONS 1.1 Introduction CEIOPS has been asked to prepare advice for the European

### Lecture 1: Asset pricing and the equity premium puzzle

Lecture 1: Asset pricing and the equity premium puzzle Simon Gilchrist Boston Univerity and NBER EC 745 Fall, 2013 Overview Some basic facts. Study the asset pricing implications of household portfolio

### The Effective Dimension of Asset-Liability Management Problems in Life Insurance

The Effective Dimension of Asset-Liability Management Problems in Life Insurance Thomas Gerstner, Michael Griebel, Markus Holtz Institute for Numerical Simulation, University of Bonn holtz@ins.uni-bonn.de

### 1. The Purdue Life Insurance Company has two assets and two liabilities.

Chapter 9, Section 1 1. The Purdue Life Insurance Company has two assets and two liabilities. The assets are: a. A 5 year par value bond with a maturity value of 100,000. The bond pays annual coupons at

### Liability Driven investment by insurers: Topmost priority

Global Journal of Finance and Management. ISSN 0975-6477 Volume 6, Number 5 (2014), pp. 397-402 Research India Publications http://www.ripublication.com Liability Driven investment by insurers: Topmost

### Hedging Pension Liabilities

Hedging Pension Liabilities when there are incomplete markets and regulatory uncertainty Sampension, 2012 Outline Introduction 1 Introduction 2 3 4 Outline Introduction 1 Introduction 2 3 4 Sampension

### Disclosure of European Embedded Value as of March 31, 2015

UNOFFICIAL TRANSLATION Although the Company pays close attention to provide English translation of the information disclosed in Japanese, the Japanese original prevails over its English translation in

### 1. If the opportunity cost of capital is 14 percent, what is the net present value of the factory?

MØA 155 - Fall 2011 PROBLEM SET: Hand in 1 Exercise 1. An investor buys a share for \$100 and sells it five years later, at the end of the year, at the price of \$120.23. Each year the stock pays dividends

### Understanding Your Life Insurance Options

Understanding Your Life Insurance Options Designed for: Client Designed by: Bernie Geiss, TEP, FEA, CLU, CFP Cove Continuity Advisors Inc. Life Insurance: An Integral Part of Most Financial Plans The primary

### Effective Financial Planning for Life Insurance Companies

6 th Global Conference of Actuaries Effective Financial Planning for Life Insurance Companies Presentation by Kim Hoong CHIN Senior Manager and Consultant Asia Financial Services Topics Recent worldwide

### 9. Himal Trading has EBIT of Rs 80,000, interest expense of Rs 12,000, and preferred

Set A Fundamentals of Financial Management Model Questions 2072 Program: BBS Time: 3 Hours Part: III F.M.: 100 Code: MGT 215 P.M.: 35 The objective of the model questions is to give an overview of the

### MBA Financial Management and Markets Spring 2011 Dr. A. Frank Thompson Due: February 28, 2011 Competency Exam 1 Directions: Please answer the

MBA Financial Management and Markets Spring 2011 Dr. A. Frank Thompson Due: February 28, 2011 Competency Exam 1 Directions: Please answer the following 33 questions designed to test your knowledge of the

### Optimal Asset Liability Management for Post-retirement stage with Income Protection Product

21st International Congress on Modelling and Simulation, Gold Coast, Australia, 29 Nov to 4 Dec 2015 www.mssanz.org.au/modsim2015 Optimal Asset Liability Management for Post-retirement stage with Income

### MODERN PORTFOLIO THEORY AND INVESTMENT ANALYSIS

MODERN PORTFOLIO THEORY AND INVESTMENT ANALYSIS EIGHTH EDITION INTERNATIONAL STUDENT VERSION EDWIN J. ELTON Leonard N. Stern School of Business New York University MARTIN J. GRUBER Leonard N. Stern School

### INDUSTRIAL-ALLIANCE LIFE INSURANCE COMPANY. FIRST QUARTER 2000 Consolidated Financial Statements (Non audited)

INDUSTRIAL-ALLIANCE LIFE INSURANCE COMPANY FIRST QUARTER 2000 Consolidated Financial Statements (Non audited) March 31,2000 TABLE OF CONTENTS CONSOLIDATED INCOME 2 CONSOLIDATED CONTINUITY OF EQUITY 3 CONSOLIDATED

### ALM in UK Life. DRAFT 12 January 2011 V1

ALM in UK Life WP & Annuity strategy t John Lister DRAFT 12 January 2011 V1 1 ALM in UK Life Summary Asset and Liability management is at the core of what we do This combined with the quality of our credit

### PBGC Insurance of Multiemployer Pension Plans. Report to Congress required by the Employee Retirement Income Security Act of 1974, as amended

PBGC Insurance of Multiemployer Pension Plans Report to Congress required by the Employee Retirement Income Security Act of 1974, as amended January 22, 2013 U.S. House of Representatives Committee on

### Exam Introduction Mathematical Finance and Insurance

Exam Introduction Mathematical Finance and Insurance Date: January 8, 2013. Duration: 3 hours. This is a closed-book exam. The exam does not use scrap cards. Simple calculators are allowed. The questions

### Brief Report on Closing of Accounts (connection) for the Term Ended March 31, 2007

MARUHAN Co., Ltd. Brief Report on Closing of (connection) for the Term Ended March 31, 2007 (Amounts less than 1 million yen omitted) 1.Business Results for the term ended on March, 2007 (From April 1,

### Inflation and Its Impact on Life Insurance Companies June, 2011

Inflation and Its Impact on Life Insurance Companies June, 2011 Inflation creates another source of uncertainty for life companies Inflation can touch nearly every aspect of life company operations: Assets

### Market-Consistent Valuation of the Sponsor Covenant and its use in Risk-Based Capital Assessment. Craig Turnbull FIA

Market-Consistent Valuation of the Sponsor Covenant and its use in Risk-Based Capital Assessment Craig Turnbull FIA Background and Research Objectives 2 Background: DB Pensions and Risk + Aggregate deficits

### Personal Financial Plan. John & Mary Sample

For Prepared by Donald F. Dempsey Jr. PO Box 1591 Williston, VT 05495 802-764-5815 This presentation provides a general overview of some aspects of your personal financial position. It is designed to provide

### THE INSURANCE BUSINESS (SOLVENCY) RULES 2015

THE INSURANCE BUSINESS (SOLVENCY) RULES 2015 Table of Contents Part 1 Introduction... 2 Part 2 Capital Adequacy... 4 Part 3 MCR... 7 Part 4 PCR... 10 Part 5 - Internal Model... 23 Part 6 Valuation... 34

### Stress Testing: Insurance Companies in Canada

Stress Testing: Insurance Companies in Canada August Chow, FSA, FCIA Senior Director OSFI Canada Paper presented at the Expert Forum on Advanced Techniques on Stress Testing: Applications for Supervisors

### Introduction to Risk, Return and the Historical Record

Introduction to Risk, Return and the Historical Record Rates of return Investors pay attention to the rate at which their fund have grown during the period The holding period returns (HDR) measure the

### Nearing Retirement: How to Use Your 401k/457 to Prepare for Retirement 5/9/14

Nearing Retirement: How to Use Your 401k/457 to Prepare for Retirement 5/9/14 Disclaimers The content of this presentation is for informational purposes only. This information does not constitute investment

### Investments Analysis

Investments Analysis Last 2 Lectures: Fixed Income Securities Bond Prices and Yields Term Structure of Interest Rates This Lecture (#7): Fixed Income Securities Term Structure of Interest Rates Interest

### Quantitative Impact Study 1 (QIS1) Summary Report for Belgium. 21 March 2006

Quantitative Impact Study 1 (QIS1) Summary Report for Belgium 21 March 2006 1 Quantitative Impact Study 1 (QIS1) Summary Report for Belgium INTRODUCTORY REMARKS...4 1. GENERAL OBSERVATIONS...4 1.1. Market

### THE STORY CALLUND CONSULTING September 2015 1

THE STORY 1 1. How institutional investors set asset allocation 2. How stock-pickers are selected and motivated 3. Modern portfolio theory and its discontents 4. Risk from stranded assets 5. So what? 2

### Sample Investment Policy. Introduction

Sample Investment Policy Introduction This statement of investment policy was adopted by the Board of Directors of Organization Name on Date, to provide for the creation of, and guidelines for the management

### Pension Fund Management at the World Bank

Pension Fund Management at the World Bank Sudhir Rajkumar Head of Pension Advisory email: srajkumar@worldbank.org Tel: (202) 473-0799 Financial Advisory and Banking World Bank Treasury Washington, DC treasury.worldbank.org

### Disclosure of European Embedded Value (summary) as of March 31, 2015

May 28, 2015 SUMITOMO LIFE INSURANCE COMPANY Disclosure of European Embedded Value (summary) as of March 31, 2015 This is the summarized translation of the European Embedded Value ( EEV ) of Sumitomo Life

### I. Readings and Suggested Practice Problems. II. Risks Associated with Default-Free Bonds

Prof. Alex Shapiro Lecture Notes 13 Bond Portfolio Management I. Readings and Suggested Practice Problems II. Risks Associated with Default-Free Bonds III. Duration: Details and Examples IV. Immunization

### Comprehensive Financial Management

Comprehensive Financial Management Our Hallmark: Communication & Accountability Columbia Financial Advisors Comprehensive Financial Management Columbia Financial Advisors is committed to helping clients

### Actuarial Guidance Note 9: Best Estimate Assumptions

ACTUARIAL SOCIETY OF HONG KONG Actuarial Guidance Note 9: Best Estimate Assumptions 1. BACKGROUND AND PURPOSE 1.1 Best estimate assumptions are an essential and important component of actuarial work. The

### Report of the statutory actuary

Report of the statutory actuary Pg 1 Report of the statutory actuary Liberty Group Limited 1. Statement of excess assets, liabilities and capital adequacy requirement 2011 2010 Published reporting basis

### Rivista ISI 2007 SCOPUS SCIMAGOJR Mathscinet Zentralblatt Econlit

Rivista ISI 2007 SCOPUS SCIMAGOJR Mathscinet Zentralblatt Econlit Advances in Applied Mathematics 0,718 NO 0,061 SI SI NO Advances in Applied Probability 0,991 SI 0,069 SI SI NO Advances in Difference

### PRELIMINARY FACT FINDER

CLIENT INFORMATION Family Information Client Spouse Full Name (First, MI, Last) Date of Birth (MM/DD/YYYY) Social Security # Drivers License # / State Address City / State / Zip Home Phone # Business Phone

### Rate of Return. Reading: Veronesi, Chapter 7. Investment over a Holding Period

Rate of Return Reading: Veronesi, Chapter 7 Investment over a Holding Period Consider an investment in any asset over a holding period from time 0 to time T. Suppose the amount invested at time 0 is P

### Chapter 5 Dynamic Portfolio Management for Property and Casualty Insurance

Chapter 5 Dynamic Portfolio Management for Property and Casualty Insurance Giorgio Consigli, Massimo di Tria, Michele Gaffo, Gaetano Iaquinta, Vittorio Moriggia, and Angelo Uristani Abstract Recent trends

### Equity-based Insurance Guarantees Conference October 27-28, 2008. Pricing EAI Guarantees. Moderator Dr. K. (Ravi) Ravindran

Equity-based Insurance Guarantees Conference October 27-28, 2008 Pricing EAI Guarantees Noel Abkemeier, Eric Petersen Moderator Dr. K. (Ravi) Ravindran Equity Indexed Annuity Pricing Eric Petersen, F.S.A.

### 401k Retirement Plan Consulting

401k Retirement Plan Consulting Scott F. Teich 2255 Glades Rd #120a Boca Raton, FL 33431 727-567-5320 scott.teich@raymondjames.com www.teichwealth.com Objectives of This Presentation The purpose of this

### Funding Retirees Budgets: Ways of Managing the Investment Risks. Anthony Asher and Ribhi Alam Deloitte Actuaries and Consultants Ltd

Funding Retirees Budgets: Ways of Managing the Investment Risks Anthony Asher and Ribhi Alam Deloitte Actuaries and Consultants Ltd Introduction Discussion Agenda Consumption Plans Managing Equity Investment

### Assist. Financial Calculators. Technology Solutions. About Our Financial Calculators. Benefits of Financial Calculators. Getting Answers.

Assist. Financial s Technology Solutions. About Our Financial s. Helping members with their financial planning should be a key function of every credit union s website. At Technology Solutions, we provide

### Effects on pensioners from leaving the EU

Effects on pensioners from leaving the EU Summary 1.1 HM Treasury s short-term document presented two scenarios for the immediate impact of leaving the EU on the UK economy: the shock scenario and severe

### Asset Liability Management and Investment Seminar May 2012. Session1: Asset Allocation for Insurance Company Liability Driven Investment.

Asset Liability and Investment Seminar May 2012 Session1: Asset Allocation for Insurance Company Liability Driven Investment Genghui Wu Asset Liability Liability Driven Investment Genghui Wu FSA, CFA,

### Technical interest rate for determining the pension conversion rate concerning non-mandatory occupational pension plans 03.11.2003 /FOPI, Life section

Technical interest rate for determining the pension conversion rate concerning non-mandatory occupational pension plans 03.11.2003 /FOPI, Life section I. Summary The pension conversion rate depends in

### Investment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients

Investment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients www.mce-ama.com/2396 Senior Managers Days 4 www.mce-ama.com 1 WHY attend this programme? This

### FINANCIAL REPORTING FOR LIFE INSURANCE BUSINESS. V Rajagopalan R Kannan K S Gopalakrishnan

FINANCIAL REPORTING FOR LIFE INSURANCE BUSINESS V Rajagopalan R Kannan K S Gopalakrishnan 6th Global Conference of Actuaries; February 2004 PRESENTATION LAYOUT Fair value reporting Recent developments

### Projection of the With-Profits Balance Sheet under ICA+ John Lim (KPMG) & Richard Taylor (AEGON) 11 November 2013

Projection of the With-Profits Balance Sheet under ICA+ John Lim (KPMG) & Richard Taylor (AEGON) 11 November 2013 Introduction Projecting the with-profits business explicitly is already carried out by

### RETIREE HEALTH CARE BENEFIT TRUST ANNUAL REPORT FOR THE YEAR ENDED SEPTEMBER 30, 2010 PREPARED BY MARTHA O. HAYNIE, CPA ORANGE COUNTY COMPTROLLER

RETIREE HEALTH CARE BENEFIT TRUST ANNUAL REPORT FOR THE YEAR ENDED SEPTEMBER 30, 2010 PREPARED BY MARTHA O. HAYNIE, CPA ORANGE COUNTY COMPTROLLER EXECUTIVE SUMMARY The portfolio had a total rate of return

### IASB/FASB Meeting Week beginning 11 April 2011. Top down approaches to discount rates

IASB/FASB Meeting Week beginning 11 April 2011 IASB Agenda reference 5A FASB Agenda Staff Paper reference 63A Contacts Matthias Zeitler mzeitler@iasb.org +44 (0)20 7246 6453 Shayne Kuhaneck skuhaneck@fasb.org

### Describe the 3 steps in the financial planning process. Identify the four key players in the economy.

Subject Area: Course: Math Personal Finance Unit: 1 Financial Planning What is Financial Planning? How does it fit into your life and career plans? When should you start planning for your future? personal

### Lecture 1: A Next-Generation Solution for Funding Retirement: A Case Study in Design and Implementation of Financial Innovation

Observations on the Future of Financial Innovation and Engineering: Addressing Financial Challenges of the Economy Robert C. Merton 2011 Princeton Lectures in Finance Lecture 1: A Next-Generation Solution

### Financial Time Series Analysis (FTSA) Lecture 1: Introduction

Financial Time Series Analysis (FTSA) Lecture 1: Introduction Brief History of Time Series Analysis Statistical analysis of time series data (Yule, 1927) v/s forecasting (even longer). Forecasting is often

### Prudential Portfolio Management Group Ltd (PPMG)

For Adviser use only not approved for use with clients Adviser Guide Prudential Portfolio Management Group Ltd (PPMG) Dynamic Focused Portfolios 2 Prudential s Portfolio Management Group (PPMG) :: Adviser

### GUIDE To INVESTING At Intrinsic our approach to investment advice is based on clearly understanding your financial situation, your goals, and how

GUIDE To INVESTING At Intrinsic our approach to investment advice is based on clearly understanding your financial situation, your goals, and how much risk you are prepared to take with your money. 2 GUIDE

2003 2013 Multnomah Group, Inc. All Rights Reserved. Scott Cameron, CFA Scott is the Chief Investment Officer for the Multnomah Group and a Founding Principal of the firm. In that role, Scott leads Multnomah

### GRAT vs. Sale to Grantor Trust

GRAT vs. Sale to Grantor Trust An Illustration Comparing the Use of a Grantor Retained Annuity Trust with an Installment Sale to a Grantor Trust AN ANALYSIS PREPARED EXCLUSIVELY FOR Jack & Jill Flash Estate