Case study
A smart approach to the validation of stochastic dynamic ALM models
By Grzegorz Darkiewicz and Ed Morgan
11 October 2022
Related content
PRODUCT
Milliman Agile ALM
Meet requirements for stochastic valuation without the cost and complexity of a full dynamic ALM model.
For companies using deterministic, liability-only embedded value models, a full understanding of the results is usually within reach, and validation of these models may be relatively straightforward. However, model requirements have been changing at an accelerating pace, with the evolution of reporting measures such as Market Consistent Embedded Value, Solvency II, and now IFRS 17, and in some markets these requirements necessitate the introduction of stochastic dynamic Asset Liability Management (ALM) models.
In this paper, we cover the following topics:
- Current approaches to validation of stochastic dynamic ALM models
- New approaches to validation of stochastic dynamic ALM models
- Case study using Milliman Agile ALM