Job van der Wardt

Explore the BoE’s expectations on how UK insurers should manage climate risks across their balance sheets and embed them into risk management frameworks

This blog post explores three approaches to measuring the impact of liabilities on SAA: actuarial simulation, replicating portfolio, and product-based dynamic liability modelling. It also compares the advantages and disadvantages of each approach in terms of accuracy and runtime efficiency, highlighting the benefits of a dynamic liability modelling approach as a fast, flexible, and efficient solution for multi-scenario SAA analyses in a full ALM context.