Asset Liability Strategy Library (ALS)

Here you can find information on the following topics:

What is ALS?

The Asset Liability Strategy (ALS) library is designed to be used for the projection of the assets, liabilities and their interaction of insurance companies (and pension funds). It is designed as a replacement to both the Asset & Global Strategy libraries and the Life DFA library and it brings together all of Prophet's ALM and DFA capabilities into a single library.

The library provides code for a rapid calculation engine for the stochastic modelling of Life and Pension Funds. It is designed for and achieves very rapid run-times, typically two orders of magnitude faster than other software. It is also designed for very rapid implementation / calibration. To achieve this we have written much of the code needed to deal with common features, the user is required to do very little coding and can concentrate on the calibration process – feeding data and assumptions into the model.

The library has been in development over 5 years and over 30 implementations have already taken place in the UK, France, Germany, Italy, Switzerland, Holland, Ireland, Greece, Portugal, Hong Kong and Taiwan. Our client base is growing very rapidly as organisations seek more sophisticated solutions to enhance their stochastic modelling capability.

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Main uses

ALS can be used for:

• Asset liability studies
• Stochastic pricing, for example "realistic balance sheets for insurers"
• Hedge strategies
• Risk based capital exercises, including ICA
• Regulatory capital
• Product pricing
• Strategy work

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Key features

General features:

• Complete flexibility of calculation intervals, monthly, quarterly, six monthly, annual and any combination thereof. All is controlled by the user by parameters, the code is generic.
• Standard interfaces are available for economic scenario generators such as Barrie & Hibbert and The Smith Model (TSM). Interfaces to other ESG providers are easily constructed.
• Choice of linking to external liability products using the traditional liability libraries or using "Off the Shelf" coding for Fund and Liability:
• Occupational Pensions Schemes
• Insured Pensions Schemes
• Insurance Funds
• UK style participating business including guaranteed annuity options
• Continental style participating funds e.g. revalorisation
• French specific Funds e.g. Fund pb
• German specific Funds e.g. Fund rfb
• Dutch U-rate business
• Unit linked
• Appropriate accounting "marked to market" and book value accounting where required.

Standard asset types modelled:

• Equity
• Property
• Government Bonds
• Corporate Bonds
• Mortgages
• Options
• Floating Rate Bonds
• Swaps
• Caps & Floors
• Swaptions
• Index linked bonds

The model captures:

• The dynamic links between assets and liabilities, particularly powerful in evaluating path dependent liabilities influenced by potential management actions.
• Dynamic Reserving
• Stochastic mortality improvement
• Dynamic lapse rate investigations

Reserving:

• Multiple reserving bases specified by the user including:
• Statutory
• Premium basis
• Projected realistic balance sheet / fair value using closed form solutions
• Projected realistic balance sheet / fair value using simulation within simulation

Multi-currency:

• Assets are multi-currency
• Multi-currency Corporate structures are possible by modelling business denominated in different currencies in different ALS products.
• ALS products can be dependent, i.e. the cash-flows of one ALS model can be influenced by that of another, the models can talk to each other.

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Latest updates

Version 7.3.3 of ALS has a number of improvements including the following additional features:

• Mortgages
• Cash management investment strategies
• German VVG regulations

For users who are logged-in to the site, more details of the changes in release 7.3.3 of ALS are contained in the bulletin "Release 7.3.3 of the Asset Liability Strategy Library"

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Current developments

We are currently writing a detailed manual to accompany the ALS library. We are also adding some of the more useful functionality from the Asset and Global Strategy libraries into the ALS library. If you are logged-in to the site then you can read more about this development.

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Who to contact?

Further details of ALS are available on request. For more information on ALS or to arrange a demonstration of ALS, please contact your local SunGard account manager.

Other products:     Prophet - Life     |     Prophet - General / P&C     |     Glean