Asset Liability Management Risk Optimisation of Insurance Portfolios

Many insurance company and pension portfolios are risk inefficient. This means for a given level of risk, the financial objectives are not maximised. Risk optimization can add substantial value in many cases, on a default-free basis while simultaneously reducing the exposure to the multiplte dimensions of interest rate risk. Beyond ensuring that their portfolios are risk efficient, insurance companies and pension funds can add further value by executing ALM at a strategic level within an ERM Framework to optimise the amount of risk taken within a specified risk appetite.