Actuarial Notes

Life Insurance Risk, Capital, and Asset-Liability Management in the Age of Uncertainty: Paper 2 – Risk Models and Monitoring, and Management Implications

By Anthony Dardis, Matthew Ford, Andrew Kirk, Bryan Liu and Hanbo Zhang · Milliman · 2024 · CP351-108-25

Study guide: Exam CP-351

The second of two Milliman reports, dated July 2024, on how life insurers are responding to the "Age of Uncertainty", with a focus on the UK, European, U.S. and Bermudian markets. Paper 2 examines how insurers' capital, asset-liability management (ALM) and liquidity models and monitoring performed during the events of 2022-23, what the lessons for future improvements are, and the management implications for businesses looking forward.

On the syllabus

  • Exam CP-351 — Paper 2, on risk models and monitoring and management implications; outcome 2b.

Introduction

Capital Models, Monitoring and Performance

  • Overview of Regulatory Capital Regimes
    • United States
    • UK and Europe
    • Bermuda
    • Global
  • Risk Aggregation Approach and Use of Proxy Models
    • UK and Europe
    • United States
  • Capital Model and Monitoring Performance
  • Stress and Scenario Testing
  • Lessons Learned and Future Improvements
    • Analysis of change
    • Use of internal capital models
    • Other operational improvements

ALM Models, Monitoring and Performance

  • Current ALM Practices
  • ALM Modelling and Monitoring Performance
  • What Might ALM Look Like in the Future?
  • Lessons Learned and Future Improvements

Liquidity Models, Monitoring and Performance

  • Liquidity Monitoring and Model Performance
  • Lessons Learned and Future Improvements

Management Implications

  • Managing in Three Dimensions and Business Strategy
  • Other Improvements and Developments

Conclusion

Sources