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Towards simpler numerical methods for the management of assets and liabilities.

Aurélien alfonsi

Nationality Française

Year of selection 2017

Institution Ecole nationale des ponts et chaussées

Country France

Risk Socio-Economics

Joint Research Initiative

3 years

212000 €

Insurance companies must rethink their long-term strategic investment strategy periodically. When doing so, they first need to carefully consider current and long-term potential earnings, and balance them with the need to maintain adequate liquidity and appropriate interest rate risk exposures. This technique is called Asset-Liability Management (ALM). In a Joint Initiative with AXA, prof. Aurélien Alfonsi, of the Ecole Nationale des Ponts et Chaussées, in Paris, aims to develop a synthetic model for assets and liabilities that takes into account the main sources of risk, with a quite minimal parametrization. The objective is to reduce computation time for the calculation of one of the key elements of ALM : the Solvency Capital Requirement (the amount of funds that insurance and reinsurance companies in the European Union are required to hold). The resulting framework will be used for a benchmark model for further studies on ALM.