Agenda

Agenda

Optimizing Insurance ALM and Investments | Agenda

Agenda timing is in HKT/SGT

08:4509:00

Registration

09:00 - 10:00

09:0010:00

Overview of Insurance ALM

09:00 - 09:45

  • Objective of ALM
  • ALM framework
  • Key methodologies and measurements
  • ALM Governance
  • Understanding what an ALCO is

10:0010:15

Morning break

09:00 - 10:00

10:1511:15

ALM Modelling

10:00 - 11:15

  • ALM cashflow modelling
  • Economic scenario generation
  • Solvency regimes

11:1511:15

End of Day 1

09:00 - 10:00

09:0010:00

Measuring and Managing Market Risks

09:00 - 10:00

  • Measuring standalone risks
    • Interest rate risk (duration, convexity, principal component analysis)
    • Other market risks (FX, equity delta, gamma, EQIV, IRIV, spread)
  • Measuring combined risks via an economic capital framework
  • Managing market risks via derivatives
    • General principles
    • Hedge accounting
    • Case Study 1: Forward starting swap
    • Case Study 2: Swaption
    • Case Study 3: Equity put/collar
  • Alternative market risks mitigation via reinsurance

10:0010:15

Morning break

09:00 - 10:00

10:1511:15

Measuring and Managing Liquidity Risks

10:15 - 11:15

  • How to measure liquidity risks
  • What to consider when managing liquidity risks
  • Perspectives to view liquidity risks
  • Case Study

11:1511:15

End of Day 2

09:00 - 10:01

09:0010:00

Strategic Asset Allocation

10:15 - 11:15

  • Background: Asset-only SAA methodologies
  • How to modify the asset-only SAA methodologies for insurance ALM use
  • Special considerations for participating products and universal life products
  • Understanding the different asset classes and which are not affected by IFRS17, RBC, and IFRS9 regulatory changes (Private Equity, Private FI, and Infrastructure)
  • Setting up the assumption and understanding how to model them to ensure optimization
  • The common KPIs that needs to be optimized under IFRS17: (CSM, VNB, Income Volatilities, and Reserves)

10:0010:15

Morning break

09:00 - 10:00

10:1511:15

Measurement Models in Detail & Determination of Investment Components for IFRS 17

10:15 - 11:15

  • General measurement approach (Build Block Approach)
  • Premium allocation approach (PAA)
  • Variable fee approach
  • Applying IFRS 17 to all components of the host insurance contract
  • Treatment of investment components
  • Impact on profit sharing schemes

11:1511:15

End of Day 3

09:00 - 10:00

09:0010:00

Stochastic Modeling for IFRS17

10:15 - 11:15

  • Understanding the IFRS17 Discount Rate and how it should reflect the liquidity characteristic of liability
  • Adding the liability liquidity premium to ESG investments and setting the expected returns in ESG investments that will generate returns used to project the liability cash flows
  • Using the discount rate for discount liability cash flows back to the valuation date, to ensure that the equivalent martingale measure and market consistent arbitrage-free properties of the valuation are preserved?  
  • Common approximation methodologies to determine TVoG and financial risks in IFRS17 if  the use of a stochastic model is not available

10:0010:15

Morning break

09:00 - 10:00

10:1511:15

Approach to Transition

10:15 - 11:15

  • Full retrospective approach
  • Modified retrospective approach
  • Fair value approach: Looking at P&L vs OCI (Other Comprehensive Income)
  • Choosing your approach
  • Case Studies

11:1511:15

End of Day 4

09:00 - 10:00

09:0010:00

How does IFRS17 apply to Insurance ALM?

09:00 - 10:00

  • Implications of IFRS17 on Insurance ALM and investments
  • What are the regulatory changes made that will impact balance sheets
  • How to optimize investments with new IFRS17 regulations

10:0010:15

Morning break

09:00 - 10:00

10:1511:15

How to work together and move forward

10:15 - 11:15

  • What are factors to consider when working with each other
  • How to help one another with changes coming to maximize profit and growth
  • Case study

11:1511:15

End of course

09:00 - 10:00