ASSET-LIABILITY MANAGEMENT SPECIALTY GUIDE参考.doc

SOCIETY OF ACTUARIES ASSET-LIABILITY MANAGEMENT SPECIALTY GUIDE  TABLE OF CONTENTS ASSET-LIABILITY MANAGEMENT 4 Introduction 4 What Is ALM? 4 The Role of the Actuary 5 Relevant professional organizations 6 Format of the Guides Content 6 BASICS IN FINANCIAL ECONOMICS RELEVANT TO ALM 8 Risk/Return Tradeoff Models 8 Behavioral Finance 11 The Efficient Frontier and Asset Allocation 12 TOOLS AND TECHNIQUES 16 Basic Risk Sensitivity Metrics 16 Immunization 16 Advanced Risk Analysis 22 Financial Market Modeling 23 Arbitrage-Free Interest Rate Models 23 Derivatives 26 General Functionality 26 Derivatives Pricing 27 Derivatives Application in ALM 27 Credit Derivatives—Credit Default Swap 33 Other new corporate bond products 33 References for credit risk management and credit derivatives 34 Other references 34 Fair Value of Liabilities 36 Background 36 Insurance Liabilities 37 Pension Liabilities 41 Performance Measurement and Benchmarking 42 Generation of Stochastic ALM Scenarios 44 Introduction 44 Dimensionality 44 Readings 45 Number of Necessary Scenarios 45 Readings 46 Combining Models 46 Readings 47 Arbitrage-Free Property 47 Readings 48 Realism 48 Readings 49 Intuition 49 Ease of Calculation and Implementation 49 “Industrial Strength” 49 Acceptability by Our Customers 49 Construction and Calibration 49 Readings 50 Reality Check 51 Readings 51 Data Providers 51 Readings 52 Modeling systems 53 Readings 53 APPLICATIONS OF ALM 54 Corporate ALM 54 ALM in Product Development 57 Property and Casualty Insurance 63 Early Studies 63 Term Structure of Interest Rates 63 Common Stock Durations 64 Dynamic Financial Analysis 64 Expected Policyholder Deficit 64 Coherent Risk Measures 65 Risk-Based Capital Requirements 65 Federal Income Taxes 65 Asset-Liability Efficient Frontier 65 Pension Plan ALM 74 Regulatory Issues 77 FAS 133 77 AICPA Standards 77 US Insurance Statutory Issues 77 Fair Value 77 American Academy of Actuaries 78 European Union 78 ENTERPRISE RISK MANAGEMENT