ALM Services

The ALM study is based on a dynamic projection of the whole portfolio of insured persons in the future with a calculation of all relevant key data such as vested pension capital, ratio of active insured persons to pensioners, reserves, cash flows, dynamic targeted returns and restructuring capacity. These calculations are made for each projection year and are combined with the available value fluctuation reserve into an objective description of the risk capacity under the investment policy. It is thus possible to represent the development of and any change in overall risk capacity over time. The value of the assets develops stochastically on the basis of a Monte Carlo simulation.

The result gives the expected cover ratio development of the current portfolio compared with proposed portfolios. The optimisation of asset allocation takes into account both the target return and the restructuring capacity and is carried out on the basis of a powerful Markowitz optimisation model.