الفهرس | Only 14 pages are availabe for public view |
Abstract Asset Liability Management (ALM) is important for the sound financial management of any organization that invests to meet its future cash flow and capital requirements. It is an important component of actuarial work in a life insurance company, and it assists in the identification, measurement, monitoring, modification, and managing of liquidity and interest rate risk. The basic principles of ALM, as well as applied methods and duration strategies, are discussed in this thesis.The thesis is divided into two parts: the theoretical part provides understandings on the problems of risk management through the ALM process and describes the methods that can be used to measure interest rate risk; and the practical part explains the techniques that can be used to measure interest rate risk.Second, an empirical part provides a detailed description of how to construct an ALM model based on an empirical study that demonstrates how to manage assets backing liabilities and interest rate risk using fundamental dynamic ALM methods applied to the participating life insurance line of business.Shock scenarios were used for this purpose, with the goal of achieving a good match between assets and liabilities so that interest rate shifts do not affect the funding of liabilities.The results show that ALM process is the most appropriate and efficient approach for constructing risk-free portfolios as much as possible, and that it should be incorporated into any insurance company’s Enterprise Risk Management (ERM) strategy |