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Strategic Asset Allocation (SAA) for Insurance

Our experts will help you determine the optimal asset allocation while taking into account your risk tolerance, investment return objectives and insurance business specificities
Designed to meet the strategic objectives of management while keeping shareholder and policyholder interests at heart
SAA takes a long-term planning perspective and is the asset allocation that is expected to be effective in achieving the insurer’s investment objectives, given pre-defined investment constraints and risk tolerance. Determining the optimal SAA is a complex multistage process that involves the collaboration of multiple internal functions (Asset Management, ALM, Risk) and must account for the interests of external stakeholders (shareholders, policyholders, regulators). Finalyse successfully combines an academic perspective with a practical approach to the definition of the target SAA, helping insurers manage this balancing act along each step of the process.

How does Finalyse address your challenges?

Development and implementation of an SAA optimization model and calculation engine

Design and implementation of an end-to-end process for the definition of the target SAA

Integration with capital planning, balance sheet management and the Risk Appetite Framework

Alignment with regulatory requirements (e.g., ORSA and the Standard Formula Appropriateness Assessment)

Modelling of the Best Estimate Liability cash flows and their relationship with asset cash flows

Design of derivatives hedging strategies for managing DV01 and CS01

Looking to optimize your asset allocation?

How does it work in practice?

Target SAA determination – the process:

 

 

Visualizing the optimal allocation – an example:

Key Features

  1. A properly defined SAA is crucial for managing the insurer’s solvency and liquidity risks, while generating returns sufficient to meet policyholder pay-outs and maximize shareholder wealth.
  2. Given the ever increasing regulatory scrutiny in the context of the European Solvency II framework, the SAA must respect the fundamental guiding principles and accepted market practices.
  3. Finalyse offers extensive experience and expertise on both the asset and liability sides, which provides the necessary scope of knowledge and skills to help determine the SAA that is optimal for your business.

What Finalyse experts say