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Socio-Economics

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.