Capital Management and ALM in the New (Solvency II) World

Capital management has always been a key activity for both life and PC (i.e. non-life) companies. The new risk based regulations under Solvency II lead to new challenges in this area, for example on target capital levels, the type and mix of capital used and its distribution among companies within insurance groups. Also, companies need to re-consider their capital management toolbox to remain effective in the new Solvency II world. In addition, capital management and risk management are becoming even closer related activities which might also have an impact on organisational aspects of capital management. The basic principles for both life and PC (i.e. non-life) companies are discussed in the first day of the program.

The second day is a hands-on programme with concern to the implementation of risk management with an example on asset liability management for a simple life insurance company. Participants will work on several cases, pinpointing interest rate risk and equity risk. Based on real life cases a number of spreadsheets are used to exemplify the basic concepts of risk management in an integrated asset liability context.

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